Each image needs to be on a post. When you are writing the post, look to the right near the publish button and you will see a list of templates. The default template DOES NOT generate a post that will be used by the slider. There are some templates like "Gallery" which will. Well, basically anything other than "Standard" I think - I use Gallery, Image, Aside, and Link. Also, take a look down that side a bit. There will be something that says, "Set Featured Image". THAT is the photo which will be used on the slider.
While you are making a post look way to the top of the post editor and see that you turn on all the bells and whistles for the page by clicking "Screen Options" and checking the boxes. The box that you want though is the one that says, "Excerpt". The excerpt is the text that you can use if you have written a lot in the post. If you write a long post then the program tries to put it all there, resulting in the bottom of the photo half full of words with ... at the end. Then use the "Excerpt" box (under the text box someplace) and put just the text you want in the caption of the slider photo.
Some people have found it necessary to size their photos for the slider, I use the built-in function where you set the size when you insert it. That part is when you click "Show" while in the Media Gallery and chose a size - Thumbnail, Medium, Large, Full Size. I choose the size closest to the slider photos and then save and click "Use as featured image" Elsewhere you can set just what dimensions are Thumb, Medium, Large, and Full.
As for making the slider work, other than the system requirement (it is a SWF I believe) then these steps should work. It took me about three days of non-stop cussing to figure this out and now I've been using it so long that I don't think about it. So, that means it is hard to describe what worked for me - but I try.