Ok everyone, I think I found the reason.
It took me a lot of searching so this might be something worth mentioning more clearly on the options page
You probably know that you need to download the JW Image Rotator (you can see this in the options/slideshow).
If you haven’t already, click here to download it.
At first I just downloaded the zip file through FTP and put the entire folder in the upload folder of my site, but that’s not good enough.
You need to only put the imagerotator.swf file in your uploads folder, nothing else.
Oh and after that, don’t forget to go back to the options/slideshow page of your gallery in worpress and add the path to this file in the “path to image rotator”.
After this process everything worked fine for me.
Try that and let me know if it helps.
Wendy