I finally figured this out and it's pretty easy.
First, I found that the plugin does NOT recognize featured images on pages, only on posts. So select your images for your home page or front page slider by creating posts with featured images. I'm using the Shell-Lite Template on WP 3.3.1.
Then go to any page or post and use the Easy Nivo Slider button to create shortcode on the page or post, set up the way you want your homepage slider to appear (just a temporary step to generate the shortcode).
Then open your front page or home page template and insert the slider this way:
<?php echo do_shortcode('[nivo number=10]'); ?> , where
is the shortcode generated in the previous step.