You may create new document library and upload all files in this library. Later use "open with explorer" feature to upload all files in library.
Later refer this link to open file as slideshow:
Hope it could help
On top of Hemmendra's suggestion, you can also consider making use of the Slide Library. As with normal libraries, you can customise this to your heart's content but this has a few nifty changes that make it worth investigating.
A good user created article on how it can be used is here https://www.nothingbutsharepoint.com/sites/eusp/pages/sharepoint-2010-slide-library.aspx