This is really simple, but it took me a while to find the folder. I wanted to use a .Mac slideshow for my background pictures. I knew that the slidewshow probably downloaded the images somewhere, and after some searching I found it. Choose ~/Library/Caches/slideshowuser in the Desktop system preferences panel as the image location (where slideshowuser is the .mac username of the person whose slideshow you'd like to use).
[robg adds: While testing this hint, I found the cached image files within the following structure in the ~/Library/Caches directory:
com.apple.iToolsSlideSubscriptions/slideshowuser/Public Slide ShowI think this is probably the correct path to be navigating to in the Desktop prefs panel.]
Mac OS X Hints
http://hints.macworld.com/article.php?story=20030711171515969