First, try quitting / relaunching Flash, and re-opening the Components Panel.
If that doesn't work, and you're using Flash CS3 or higher, make sure you are creating an FLA using the ActionScript language of the component you installed. For example, if you installed the "AS3" version, you should select "Flash File - ActionScript 3.0". If "AS2", the "...2.0" option. Flash CS3 and higher only offer components in the Components panel that are supported by the ActionScript language selected for the FLA.
Lastly, you may be using a non-English version of Flash and Mac OS X. If so, Extension Manager may install the extension to the wrong directory. Look for the installed component in one of the following directories:
Flash CS5: [User]/Library/Application Support/Adobe/Flash CS5/
Flash CS4: [User]/Library/Application Support/Adobe/Flash CS4/
Flash CS3: [User]/Library/Application Support/Adobe/Flash CS3/
Flash 8: [User]/Library/Application Support/Macromedia/Flash 8/
Flash MX 2004: [User]/Library/Application Support/Macromedia/Flash MX 2004/
You will see a folder titled "en" (English). Open that, then look in Configuration/Components. You'll see a "SlideShowPro" folder. Move that folder to the same Configuration/Components directory that's inside of your other language directory (up where "en" is).
Restart Flash, and SlideShowPro should appear in the Components panel.