Thank you for the link Laurentiu. At about the same time as you posted it I discovered that if I used Adobe Reader I could get the slideshow presentation to work, at least partially.
I had been using Preview and of course it just displayed it as a .pdf document.
However, my problem is not completely solved.
When PS finished making the presentation I got a warning message that the preset used was not suitable for presentations and transitions between pages would not show.
Strangely, the transitions do display, but my selection of looping the slideshow does not work.
I wonder why and which preset should I use?