What Operating System are you running?
If you are using Windows XP, simply open the Pictures folder, Select the first folder you want to show, Press "Ctrl" and hold while selecting the other folders. Once you have selected all the folders you require, look at the left hand side of the display. Select the "View as a slide show option from the "Picture Tasks" options (Top Left, second option down).
If it is any other operating system, I cannot help at the moment as my Windows 7 machine will not boot up at the moment.