when you do the import, select _all_ images at once (multi-select) in reverse order (ex. name_a04, name_a03, name_a02, name_a01).
you can save these in a folder in MyLevel if you want, i usually do - call the folder wahtever you want (i just call it "screenshot"
Now rename the first image of the imported set (ex. name_a01) to "screenshot", and then add that one to LevelInfo -> Screenshot. iirc it _has_ to be called "screenshot".
In the texture props for "screenshot" all you do is set MinFrameRate, leave everything else alone. Set it to values such as 0.3 or 0.4 for a well paced slideshow.
Cheers