Are you using a Windows computer to make it? If you have Windows Vista, it comes with two tools that will help you with this. One is called the "snipping tool" and can be found by clicking on your start button then typing in snipping tool in the search bar. This is easy to use and lets you save screenshots as JPG files.
You can then create your slideshow using Windows Movie Maker. You'll have to find a way to record audio separately with microphone. You find free audio recording and editing software here: http://audacity.sourceforge.net/
Alternatively, you can download for free this screencasting software which lets you record exactly what you are doing on your screen to create a screencast video. http://www.screentoaster.com/ You'll need a way to record audio to go with it as well.
