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.
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.