Dreamweaver has an automatic feature for generating a thumbnail page with links to full size images. You also need to have Fireworks.
You simply open a blank new HTML document and choose the "create web photo album" from the Commands menu, answer a few questions and point the program to your folder of full sized images...then wait for the magic to happen.
You end up with a generic looking page with a table of thumbnails with links to the full size photos. If you have CSS skills, you can eaisly redesign the page to match the rest of your site, then simply upload the page and the image folder via FTP.
If what you are interested in doing is having the page generated automatically from a directory of thumbnails and a directory of full size images, I believe you have to do some scripting using something like PHP. Perhaps the database people can be of more help with that one.
If you want to see some samples of the Dreamweaver generated thumbnail pages, visit:
http://www.latex-mania.com/gallery.html