Saving and compiling the slideshow is actually very simple. Just click on the 
Save slideshow button or menu item, select the directory where you want to save to and add the slideshow name. The saved name will appear in the title bar of gdvdslides.
All that's left is to click on the 
Create Video button and watch as the slide show compiles. The compiled file should appear in your output directory, with the same name as the slideshow script, but a different extension. You can use any handy movie player to play the result.
If you find that no video file was created, there was probably an error during compilation. To see all the output that dvd-slideshow generates, click on the 
Default settings button or menu item and change the Terminal to use for compilation line to 'xterm -hold -e'. This will allow the terminal to remain open after the compilation is finished so you can check for errors. You can close the terminal by clicking on the 'X' in the upper right corner.