Thanks a lot for the quick response! I just looked around for other ways to embed the swf and walked through the swfobject tutorial about flash embedding. This made it working and I now have everything working :-)
As a reference to others:
At the moment it doesn't make them for you. When you create a slideshowpro gallery it should create a folder in the assets section with the name of your page and inside that an images and a thumbs folder.
The readme file that comes with the trunk version of this module says to drop the whole 'standalone' folder into the slideshowpro directory, but I'm guessing this isn't correct based on how the folder structure is setup, plus in this thread it says just the 3 files.
What is loader.swf? I don't see it anywhere.
Using 2.2.2 if that matters. Going to work on setting up the thumbs and other things before diving in too deep with this, figured I'd ask instead of wasting time :)