Create the folder wherever you want it, and fill it with your pictures. Then right-click the folder, select Properties, select the "cusomize" tab, and from the drop-down menu select either "pictures" or "photo album." From then on you'll have to option from the left-hand information bar to "view as slide show," which will go through all of the photos in the folder in order.
You may also want to open the folder, click View, and select thumbnails or filmstrip.
Hope this helps,
How do i set up the WIN XP home edition desktop so that instead of a single picture it shows a slide show showing maybe 10-15 pics?
Tim in houston, TX