Instructions on how to install are in that page and are pretty simple. All you have to do is drop the "phpshow.php" file that you downloaded into the folder that contains your pictures. Then go to your WB's template folder and call "phpshow.php" .
If you want your slideshow to appear in your homepage, add something like <?php include ("PATH TO YOUR IMAGE FOLDER/phpshow.php") ?> to the index.php of your template where you want the slideshow to appear. Replace the path to your image folder. You can also do this to your page from WB's admin area but read WB's documentation to see how to do it.
Another alternative would be to show it in an iframe but i don't recommend it.
There are other slideshow scripts at dynamicdrive.com
if you want different functionality.
Hope it helps.