Hi,
In order to put a Windows and Mac slide show on the same CD, you would need to do the following.

1) From a Mac, create and save a slide show.
2) Prepare slide show for CD-Rom, which will have you save a folder on your hard drive
3) Prepare slide show for Windows CD-Rom, which will also have you save another folder on your hard drive
4) In order to burn the contents of both of these folders to a CD, you must use a CD burning program that supports a "custom hybrid format". Toast for the Mac is one example of a program that handles this quite well.
5) Create a temporary Mac partition and copy the contents of the first folder to it. (there is a program in Mac OS X called disk utility that will do this for you)
6) Point your CD burning software's Mac side of the hybrid to this temporary partition.
7) Drag and drop the prepared slide show files for Windows on the other half of the hybrid CD.
8) burn the CD

At this point, you will have a CD that when put in a Mac, only the Mac files will appear, and in Windows, only the Windows files will appear.

If you run Toast, the Toast manual may also be helpful if you look up the "custom hybrid" format. Hope that helps!