I would suggest that you check the module first and see if all of the steps listed in the template FAQ has been followed.
I also encountered this problem and what I did is check the ja_header module component (under the component link). I prefer the javascript slideshow option rather than the flash option. Although I have flash player installed, I thought its best to go with the javascript since its more prevalent on the net rather than flash and for those who has not installed the flash player yet, it seems like many will not be forced to install it just yet…
Also see the looping, it should be yes, otherwise the only image to appear will be the first.
I hope that helps…