I use SLIDESHOW TO GO 7.0, it's shareware, so you can try it before buying it and it's only $20.00.
You can make a self executable cd, (just put it in cd or dvd and it plays).
Don't know about ALL dvd's, but I know it works in a new SONY, and you can show file names on the photo's.
Here is the link
http://download.com.com/3000-2189-10187076.html
Try it, if you don't like it, delete it, hope this helps.
RonC