In Windows, there should be a screensaver called Photo Slideshow or something similar. Select it, and set the folder to the location of the image files. If this screensaver doesn’t exist, you may download a third party saver such as MotionPicture or Slide Show Screen Saver.
In Ubuntu or many other Linux distros, select the F-Spot Photo screensaver from the list. This will cycle through all your photos in your F-Spot album.
If you intend to create a compiled screensaver file for distribution, Visual Studio would be a place to start using the Screensaver Sample tutorial. However, programming knowledge is needed for this.