How do I save a slide show made from an Album?

There are two ways to do a slide show.

1. You can select some pictures and choose File>Play Slideshow.
2. Or you can select File>Create>Slideshow>Photos. This produces a Slideshow Project, and it gives a lot more choices for music and timing and such, and when you're through, you can File>Export>Export Slideshow.

Is this what you were looking for?

If you've created the sideshow under Projects just click on the Export button and follow the instructions: