WordPress doesn’t have a native slideshow option.
You could use something like the Slideshow plugin though if you wanted to display a slideshow:
http://wordpress.org/extend/plugins/slideshow
As far as I’m aware “Insert Slideshow” is only native to wordpress.COM not to a .org self install. I’d suggest you look into a plug-in for this, maybe something like: http://wordpress.org/extend/plugins/nextgen-gallery/