@iwek: Certainly possible, yes, although it will require a little bit of coding. You can either just scale down the slide images to thumbnails using CSS (easy, but takes up a lot of bandwidth), or produce thumbnail versions of the slides using something like Photoshop (more time-consuming, but saves bandwidth if the user isn't going to view all the slides).
You can create the thumbnails as explicit <img> tags in your markup. Put them in a separate div with a class of, say, "thumbs". Then style the div and the images using CSS (for example, absolutely position the div along the bottom of the window, and scale the images to max-width: 100px and max-height: 100px). You can then link each image using something like:
<a href="#" onclick="moveToSlide(3)"><img ...></a>
...replacing '3' with the index position of each thumbnail.
Then write a simple moveToSlide() JavaScript function that takes the slide index to move to, works out how many positions left or right it needs to move, then calls moveLeft() or moveRight() the appropriate number of times.
Cheers,
Matt
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Matt Doyle, Elated
3rd Edition of my jQuery Mobile book out now! Learn to build mobile web apps. Free sample chapter: http://store.elated.com/