SlideShowPro for Flash is distributed as an MXP file. This is an extension for Extension Manager, which manages components and other add-ons for Flash.
When installing SlideShowPro, make sure you launch the Extension Manager application that matches the version of Flash you are using. For example, if using Flash CS3, launch the "Extension Manager CS3" utility that's installed in the same directory as Flash. When open, 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.