This is a bizarre problem and there are postings about it all over the web. Some folks report that it works sometimes but not always - they'll make 5 slideshows where two of them will work and the other three won't. I have never seen it work! Current versions of Chrome, Firefox, IE and Opera won't show it for me - either on a localhost setup or live-on-the-web. I'm running the latest WP, and a child-theme of TwentyTwelve with limited changes to the CSS and Functions - and nothing that should interfere with it that I can tell.
However, I'm of a mind that this slideshow is looking for a JS library that hasn't been loaded or it can't otherwise find. When I get time, I'm going to look into the template files and see if I can spot what-it-wants and where-its-supposed-to-be.
But maybe someone can beat me to it - any of you WP super-hacks know what JS library WP's Media Gallery Slideshow needs to use?