WordPress.org

First, install and active Posts 2 Posts.

Then, use the WordPress installer to install this plugin or ...

1. Click the big orrange button to download the plugin
2. Unzip the plugin files
3. Upload the p2p-slides folder to your /wp-content/plugins/ directory
4. Activate the plugin in the admin area

After installing, you should see a new meta box on your edit screen for pages.

If you wish to modify what post types get associated with slides, simply hook into after_setup_theme and add theme support for p2p-slides.

<?php
add_action('after_setup_theme', 'my_special_setup');
function my_special_setup()
{
    // this is the same as just having the plugin installed
    add_theme_support('p2p-slides');

    add_theme_support('p2p-slides', array('a-post-type', 'another-post-type'));
}

To use the slides, you'll need to check the slides property of each $post.

<?php
// start the loop as normal
while(have_posts()): the_post();
?>

    <?php if($post->slides): ?>
        We have slides! Loop through them.
        <?php foreach($post->slides as $slide): ?>
            Do stuff with $slide here, it's just a post object
        <?php endforeach; ?>
    <?php endif; ?>

<?php endwhile; ?>

You can find a more complete example, in the form of a page template for twentyeleven in the P2P Slides' inc directory.