I've successfully done it with both the free (with DVD drive) version of Nero, and Nero 8 Ultra Edition. I've even created it directly in PAL.
Nero also has the ability to add a sound track from an audio file, though I haven't tried it.
I spent a long time trying to get JPG files to display on all DVD players and eventually gave up. Then, one day, I discovered the so-called Slide Show format of Nero, and it works perfectly. If you do it right, each picture gets a chapter mark, making it very easy to "go to next" and "go to previous" slide, though "go to previous" only works properly in Pause mode.