I'm still using Windows ME, so what I see on my screen might not exactly match what you've got, but this should be close enough for you to follow:
Put the pictures you want to use for your screen saver into a folder of their own. (The folder can be anywhere you like on your hard drive). Then . .
Right-click on your desktop. Select 'Properties' and click on the 'Screen Saver' tab. Use the pull-down menu to select 'My Pictures Screen Saver'. That will activate the 'Settings' button; click on it. Click the 'Browse' button. Navigate to the relevant folder and click on it. Adjust any other settings you wish to change, then click 'OK'. Click 'Apply' and 'OK'
Chris