Hi, all images stored in My Documents/My Pictures will become available as a slideshow screensaver. If you only keep one image in My Pictures, then the slideshow will just use that image.
Alternatively, use a free program such as Irfanview. This will allow you to save an image as a screensaver. If you then place the image at C/Windows/system32, it will appear in the Screensaver drop down list.