or you could use the script to load the thumbnail images in at the same time...
Code:
<body>
<img id="bg"/>
<div class="change"></div>
<div class="change"></div>
<script>
var data=["img_cat.jpg|cat caption here","pic_dog.jpg|about the dog"];
var pics=[];
$(document).ready(function() {
$.each(data, function(index, value) {
$('.change').eq(index).html('<img src="tn_'+value.split("|")[0]+'"/><br>'+value.split("|")[1]).click(function(){
$('#bg').parent().fadeOut(800, function() {
$('#bg').attr('src', value.split("|")[0]);
$(this).fadeIn(800); });
});
});
});
</script>
</body>