When you create or edit a page, you have an extra field at the bottom of the page edit screen,
to define options for just that single page. Have a look at the screenshot:
 

The single page settings in detail

• Slideshow on/off
• Slideshow category
• Slideshow: use custom post types, pages or external urls via custom fields
• Slideshow style: full width or with preview
• Slideshow caption on/off
• Define the sliding time
• Slideshow order of posts/pages
• Amount of posts/pages
• List posts under that page
• Select a style for listing the posts
• Select category of posts
• Select amount of posts
• Page templates: sidebars left, right, left and right, or no sidebars

Your custom url in the slider

You can also link a custom url in each slide of your slideshow by adding a custom field
and name it “my_url” to your posts and adding your url.
 
Remember, you have to add this custom field for every post you want to display in the slider!