I'll get the obvious and cop-out answer out the way. Pay for a service. Something like the one listed here.
XML Flash Slideshow
If you're more interesting in the coding aspect, read on. This is taken directly from Adobe's website.
Example
The sample slide show application shown below uses an external XML file that provides, for each slide, the URL to a JPEG file and a short text description.
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The benefit here is that you only have to update the XML file, not the flash. Updating Flash can be obnoxious, I usually like to avoid it if possible.
To understand the theor of how XML works in, you should read
this section.
My biggest suggestion to you is to download the source file, study how the code was made, then work from their to build your own structure. I am new to this as well and have found this method to cover my needs so far with minimal headache (but since it's new, grab some advil, you might need it
).
As far as design,
Ask Men will have plenty of slideshows that should serve as a good example of structure and content (mmmm... content).
Does this give you a good place to start?