Something like this would do the job:
<li><a href="/images/large1.jpg"><img src="/images/small1.jpg" alt=""></a></li>
<li><a href="/images/large2.jpg"><img src="/images/small2.jpg" alt=""></a></li>
<li><a href="/images/large3.jpg"><img src="/images/small3.jpg" alt=""></a></li>
So, you have a list of thumbnail images (e.g. small1.jpg) wrapped in links to the large version. Clicking the link will result in the large version appearing in the browser window. You don't have to set up a page for it—although, if you don't, each browser will choose how it displays the image. In Firefox, for example, the image will appear in the center of the screen with a dark background. Simple, but effective.