Microsoft didn't program that option in their desktop management facility. You may be able to find a third party wallpaper manager that has that capability. Microsoft has chosen simplicity over the ability to customize.
I know of one application that will take photos and create a slideshow, to which can be saved as a screen saver. The name of the application although I'm sure there are others is Irfanview (
http://www.irfanview.com/).
My personal opinion on the subject for what its worth:
While I agree that simplicity should be the default on the surface, we should have greater options underneath. But unfortunately I think MS leaves that to third party software creators. I understand this point of view for many aspects of the OS, but not for desktop management.