Create a post or a page and create a gallery via the media gallery. You do not have to insert the gallery into your post. You may just close the media gallery widow after you have added the desired images to it.
You may want to fill the fields "Title" (shows as Caption), "Descreption" (shows next to title as Caption) and "Custom Link" (creates a link to the Caption).
Then you may save the post/page.
Next step is to add the widget "Post/Page Slideshow" to your available sidebar and fill its field.
How it works
At first the plugin loads only the first image. Then it reads fro a seperate div the links to the rest of the images that it created. The benefits are a fast loading webpage and search engine indexed image of the slideshow.
The code is W3C valid.
It has been tested under Wordpress v.3.5 but it should be ok for all v3.x.
For new features please post at the plugin forum at Wordpress.org