If you have Vista, right click on your desktop, click on 'Personlize'. A new window will appear. Click on 'Screensaver' and from the drop down menu choose 'Photos'. Then click on 'Settings' and choose the folders with your photos in them. XP will probably be the same method.
In XP, right click on desktop, select properties, select 'Screen Saver' tab at top, in Screen Saver section select pull down box and select My Pictures Slideshow, select settings and browse for folder containing pictures you want to see on screen saver. Press ok. Voila, job done.