using the following method, you can no more change the header image with the options in the dashboard; one manual added set of images, which have to be located in the images folder of the theme;
(in which case you could actually easier photoshop a new image out of the three/four images and use it as usual)
edit header.php and find:
<?php
// Check if this is a post or page, if it has a thumbnail, and if it's a big one
if ( is_singular() &&
has_post_thumbnail( $post->ID ) &&
( /* $src, $width, $height */ $image = wp_get_attachment_image_src( get_post_thumbnail_id( $post->ID ), 'post-thumbnail' ) ) &&
$image[1] >= HEADER_IMAGE_WIDTH ) :
// Houston, we have a new header image!
echo get_the_post_thumbnail( $post->ID, 'post-thumbnail' );
else : ?>
<img src="<?php header_image(); ?>" width="<?php echo HEADER_IMAGE_WIDTH; ?>" height="<?php echo HEADER_IMAGE_HEIGHT; ?>" alt="" />
<?php endif; ?>
change it to:
<img src="<?php bloginfo('template_url'); ?>/images/image1.jpg" alt="" /><img src="<?php bloginfo('template_url'); ?>/images/image2.jpg" alt="" /><img src="<?php bloginfo('template_url'); ?>/images/image3.jpg" alt="" /><img src="<?php bloginfo('template_url'); ?>/images/image4.jpg" alt="" />
(fourth image code optional; image widths should add up to the total width of header; one long line, no linebreaks)