You need to create at least two separate pages to accomplish this -- a page with your full-size image and a page with your thumbnail images.
Suppose your full-sized image name is "image.gif," and you want to display it on a page called "page1.html." Place this code on page1.html:
For your thumbnails page, create the links to go to your "page1.html" page:
<a href="/l/us/yahoo/smallbusiness/webhosting/ghtml/page1.html"><img src="thumbnail.gif"></a>
Thumbnail.gif would be your small version, and this will have a link that goes to page1.html, which is the page that has your full-size image.
Use an image-editing program to properly resize your images. If you don't already have one, you can download a trial version of Paint Shop Pro at this address: