This feature also comes with Windows 7. Right click on desktop then click "Personalize". You can see the numbers of themes for example choose Nature theme and click "Desktop Background". You can see the some pictures and a tick mark on the corner of the pictures which tells these pictures are the part of my slide show. Also you can set the time for new pictures to come.
When you finish, you can see your setting works immediately.
Now to set your own pictures to your background slide show, reopen desktop background and click browse and locate your pictures' folder. It is important to save your all pictures to a same folder, select that folder now windows automatically select all pictures to appear in your slide show. Pictures you don't want to come in your slide show, uncheck that pictures. Now choose all available option for your slide show like time for the pictures to come.
Click save changes and rename your theme to identify your theme. Now your slide show immediately works.
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