I'm going to be dead honest here, It's probably not realistic people are able to help you at this stage as often we need specific details in order to debug problems. That being said:
Assuming you've installed SilverStripe and then the module, you'll need to do the following.
I am going to assume you are using "gallery" for argument's sake. Inside gallery/code will be GalleryPage.php. This will contain your Slideshow function.
Your problem is, your website knows about the gallery being installed, but your theme has no idea what a gallery page is! In order for SilverStripe modules to work correctly, you need to have matching Templates for each page type. eg:
GalleryPage.php uses template /themes/mytheme/templates/Layout/GalleryPage.ss
GalleryPageHolder.php uses template /themes/mytheme/templates/Layout/GalleryPageHolder.ss
By default, SilverStripe tries to cascade the page using the default /themes/mytheme/templates/Layout/Page.ss template. You could try putting <% include Slideshow %> under $Content, that may work.
SilverStripe is an open source, community driven effort. Yes sometimes it lacks documentation in some areas, however the areas lacking documentation are usually from community submitted modules authored by people such as ourselves.
Perhaps if you do get the Slideshow working, your next step would be to write a short instruction manual on the module, including what i've written above, then committing it back to the project so no-one runs in to this issue for this particular module in the future. That's all part of the open source process.
Let me know how you get on.