I'm using Windows XP and this is how it's done with that:

To use personal pictures as a screen saver
Ensure that you have two or more pictures in a folder on your computer. You can upload pictures from a digital camera or scanner, or copy them from the Internet or an e-mail attachment.
Open Display in Control Panel.
On the Screen Saver tab, under Screen saver, click My Pictures Slideshow in the list.
Click Settings to specify the folder containing your pictures, define picture size, and set other options.
Notes

To open Display, click Start, click Control Panel, and then double-click Display.
My Pictures Slideshow scrolls through all the pictures in the folder.
After you specify a screen saver, it will automatically start when your computer is idle for the number of minutes specified in Wait.
Click Preview to see how the selected screen saver will appear on your monitor. Move your mouse or press a key to end the preview