Which desktop manager are you using? KDE, Gnome, E17? Go through your start button menu and look for Settings>Appearance. There are submenus for desktop images and even slideshows.
I use Gnome and a program downloaded through Synaptic called Wally. It lets me designate a folder of custom images to run a wallpaper slideshow.
You might want to make it a practice when you install a new OS or application to take a few hours and go methodically through every single menu entry. Whether you accept the defaults or change things as you go, you'll at least start to know where everything is and get an idea of which program does what.