I've done this in the past but can't remember what I did to get it working!
Using DW CS4, and I highlight the image I want to change on MouseOver. With it highlighted, I go to the Behaviors panel and add new. When I click on SwapImage, the next dialog box has several image links in it for some reason. All I want is for a full-sized image to appear over the page, of the thumbnail they roll the mouse over.
In the dialog box I've tried choosing both the thumb image and the full-sized one, and neither works. Please refresh my failed memory (I know I'm missing something obvious here).