what is a URL?
A URL is the address on the internet of a web page or (as in this case) an picture. An example is: http://www.xat.com/web_gear/background/xat_tree_line.jpg
If you have your own web page or web space you can upload images to, use the URLs to the images on your web page, e.g. http://www.mypage.com/myslideshow/image1.jpg etc
what if I don't have a web page?
If you don't have you're own web page you can upload your pictures to a free image hosting service such as Imageshack or to Photobucket.
To use Imageshack click here and copy the "Direct link to image" into the boxes on the slideshow setup page.
To use Photobucket click here and copy the "Url"into the boxes on the slideshow setup page.