Off the top of my head you could have the thumbs in a strip, say, in one frame and the big picture in another, simply reload the bigger frame per click - no reloading of the thumbs part.
Or with clever naming etc., you might be able to get an onClick event for each thumb to change the .src of the big picture, kind of a like a "big rollover". Not too keen on Javascript myself though, always seems a bit finnicky...
