I'm not sure how to make the specific slideshow that you are referring to work but this is how I did mine.
I used the "XML Flash Slideshow 2.1" available here (http://www.flashnifties.com/).
I like it because it can be driven from an XML file so I never have to change the flash. I simply modify an XML file and the slideshow changes. I have plans to use the the slideshow as a more important part of my site in September (I run an NFL football site).
I am simply using the slideshow in the side banner so it's pretty small right now. You can make the slideshow any size you want. I chose to make it small.
I made an HTML widget and placed the following code in there:
<div id="flashcontent">
<h1>Oops!</h1>
<p>It looks like you don't have flash player 6 installed. <a href="http://www.macromedia.com/go/getflashplayer" >Click here</a> to go to Macromedia download page.
</p>
</div>
<script type="text/javascript">
var so = new SWFObject("slideshow.swf", "gallery", "215", "148", "6", "#ffffff");
so.write("flashcontent");
</script>
I threw this line in the "headinclude" template:
<script type="text/javascript" src="flashdetect.js"></script>
If you go to my site (www.footballbook.pro (http://www.footballbook.pro)) then scroll down a little more than half way down and look for a widget in the right hand column called "Top NFL Sites".
You can make better looking slideshows than I did. This was just a widget that I whipped up pretty quickly a while back.
If you are like me then you aren't too fussy on which slideshow software that you use. You just want something that works. I think the price tag for the software that I used was $10. That's a pretty good deal!
Hope that helps,
-fab