Successfully installed a Nivo Slider this morning. WordPress 3.1.
I used the NextGen Gallery to hold the images (all exactly the same size).
I used the JJ NextGen JQuery Slider to implement the Nivo Slider.
I couldn't get the shortcode to work directly, but used PHP to insert the slider. Here's what it looks like (PHP wraps around the shortcode):
<!-- rotating banner -->
<?php echo do_shortcode('[jj-ngg-jquery-slider gallery="mm-home-page" pausetime="5000" animspeed="1000" width="840" height="227" order="sortorder" ]'); ?>
Without the width and height in the shortcode, IE wouldn't display the images. With it, it's working well in (list of browsers tested) IE, Firefox PC and Firefox, Chrome, Opera and Safari Mac.