I found this in a few different places around the 'net - hopefully it's helpful:

Create a Personal Screen Saver

For a great way to put your digital photos to work, try creating a slide show presentation for use as a screen saver.

• Right-click an empty spot on your desktop and then click Properties.
• Click the Screen Saver tab.
• In the Screen saver list, click My Pictures Slideshow.
• Click Settings to make any adjustments, such as how often the pictures should change, what size they should be, and whether you'll use transition effects between pictures, and then click OK.

Now your screen saver is a random display of the pictures taken from your My Pictures folder.