It displays photos that are stored digitally, usually on some form of memory card - the same cards as found in digital cameras.
Often they can be set to be static - displaying the same photo all the time, or as a slideshow - the photo changes at regular intervals.
Some can run on batteries, but it is usual to plug them in.
So you can take photos with your digital camera, take the memory card out, pop it in your photo frame and see the pics.
Of course you can 'cherry pick' your photos, and only copy your favourites from your hard drive to the memory card if you wish.