Try this macro
Sub Test()
Const MyPath = "C:\Documents and Settings\Me\My Documents\My Pictures\"
MyFileName = Dir(MyPath & "*.jpg")
Do While MyFileName <> ""
Sheets.Add After:=Sheets(Sheets.Count)
ActiveSheet.Pictures.Insert(MyPath & MyFileName).Select
MyFileName = Dir()
Loop
End Sub
Open up the VBA editor by hitting ALT F11
Insert a new module by hitting Insert - Module
Paste the macro into the empty sheet
Hit ALT F11 to get back to the worksheet.
Run the macro by going to tools-macro in Excel 2003 or the view ribbon in Excel 2007.
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