That command was removed in CS6.
In the What's new in Fireworks CS6 doc (http://helpx.adobe.com/content/help/en/fireworks/using/whats-new-cs6.html), note that Create Slide Show was one of five deprecated features.
If you still have the Fireworks CS5 version, you might either use the CS5 version to do this or try copying the command over to CS6.
Fireworks can create an animation based on a group of image files. For example, you can create a slide show based on several existing graphics.
Use the States panel to edit your animation. Be sure to choose "Animated GIF" in the Optimize panel.
Here is an easy option that requires no scripting: Cycle2 is a versatile slideshow plugin for jQuery built around ease-of-use. It supports a declarative initialization style that allows full customization without any scripting. Simply include the plugin, declare your markup, and Cycle2 does the rest.