Do you want it to load something new, or do you want it to preload all of the content and rotate through it?
Do you want it to be an HTML banner, or just an image?
Those two questions are very important:
HTML and preload:
Easy. You will load several divs when the page initially loads. Then set their CSS display property to "none" so they are hidden. Then use Javascript to rotate through them.
HTML and load new content:
Hard. You will need to use Ajax to replace the contents of the div. Google "Ajax" or look at some of the scripts available here on DD for it (under "dynamic content").
Image and preload:
Hard. You will need to look at an image preloading script. Then rotate through them using JS.
Easier. Or you can do the same as HTML and hide the images (although I think display:none; may actually not load the images).
Image and load each time:
Easy. You will use a single <img> tag as the banner and change the SRC using Javascript in a loop every five seconds. That will make the new image load. It's like a rollover/mouseover script, but based on a loop rather than user interaction. Note that for this (and probably the others) it's best if the banner is always the same size.
Of course even the "hard" ones will not be so difficult if you use existing scripts for the hard parts, such as Ajax.
Decide which approach is best and if you need more help let us know.