Not included in Windows
Adobe Acrobat is the best at this, but there are several other programs that will work fine. Unfortunately, I have not found a photo website that lets you view them online. You can also save as multi page tiffs.
I also use ACDSEE's Photoslate 4 to create multi page albums and save them as PDF's. I can select the image size to save, so a small file for e-mail, or a large high quality one for printing. I usually end up saving them with Acrobat because it makes a smaller file for the quality.
I'm sure that there are lots of third party PDF generators.