SlideShowPro for Flash is distributed as an MXP file which is the file format used by Adobe/Macromedia Extension Manager to install extensions for their applications.

If your operating system doesn't know what to do with the MXP when you double click on it, launch Extension Manager manually. If you're using Flash MX 2004 or Flash 8, make sure you use Macromedia Extension Manager. If Flash CS3, use Adobe Extension Manager. Launch the app, and select "File > Install Extension" to select the MXP file in the ZIP you downloaded. It should then install.

If you receive an error from Extension Manager claiming it can't find a supported version of Flash, quit Extension Manager, launch Flash, and select “Manage Extensions” from the Help menu. Extension Manager will launch and should recognize Flash. Then try installing the extension again.