It is just a flash file that loads images and then makes them move and fade.
If you don't have any Flash experience then checkout the link in my sig with flash tutorials. There is also a thread in here somewhere which helps make a Flash XML slideshow, which could be easily changed to do this kind of style.
To put it in WP, you would just include it in the theme, no plugin.
jeremy - gnomeontherun
Educated questions often get educated answers, and simple questions often get simple answers.