Yessir! Many ways. The worst is to use supermarket facilities!
I assume that you are talking about your being sent a slide show via computer. Is this on a CD or as a file from computer to computer?
If so, you can try the following.
Create a folder in a program of your choice, ready to 'accept' the pictures you wish. For individual photos, call up each picture of your choice on screen and save it to the folder you created. I use a variety for different purposes e.g. MGI Photosuite (Great for making or copying slideshows), Microsoft Publisher and even WORD. At this time, you can 'rename' the pics as you wish.
You can even use a 'screen dump' (Print Screen Key), although this would be slow to copy all pics. Then 'paste' with Control V into your folder. (Only much good for one or two pics.)
If you wish to copy the whole slideshow at once, 'select all' pictures and copy them to your chosen folder via 'drag and drop' with your mouse. This is easy if the pics came on a CD or as a 'batch' from another computer. If you are using a photo package, you should be able to do this. Ensure that you save pics as JPEG's. These 'compress' the images so that you can store many without taking up too much space on a hard dive or on a CD. You can re-arrange pics and put 'transition' effects and captions on them, if you wish. If you become adventurous, you can even add sound commentaries with 'wav' files which are sound files which you can record yourself on the computer's Sound Recorder or import from many sources, including music files, cameras and camcorders! Most photo packages allow for creating or modifying your slideshows. Check 'properties' for the photos to see if they are listed as 'archive'. If so, 'uncheck' the tick(s) which may show for each photo. This allows you to copy and view the pics for yourself.
I find the best way is to 'burn' the supplied slide show onto a blank CD, such as -R CD's, available cheaply e,g, from supermarkets. You need a 'burning' program to do this. I use 'Nero Burning RoM'. There are many updates of this available, including free downloads from the Internet. Of course, you need to have the appropriate CD/DVD drive on your computer as well. Such CD's will also play on most modern televisions via a compatible CD/DVD player.
You can always use the pictures just on computer once you have copied them to your hard drive in a slideshow facility. They are often clearer on computer monitors. To make them play in 'proper' order, you may have to rename pics e.g. 1a, 1b, 1c, etc. If you give them names in words, the computer may well play them in alphabetical order! You can always make more than one copy, with more memorable names than just numbers.
You might wish to look at 'Flickr' on the Internet. You can open a free account and give yourself a password. You can then look up millions of pics, in any category, from around the world. If your friend also has 'Flickr', he can post his pics on the Internet, either for the whole world to see or just for named persons, such as yourself, with an email address! You can then see all of the pics he sends to you and copy them, if you wish. Control C will always copy any individual photo to the 'clipboard' for pasting into other folders.
I have friends without computers! They give me the old-fasioned slides and I copy them via a scanner to computer or CD. Doubt if you have the equipment, from what you ask, but it is another way. I sometimes even take 'pictures of pictures' with a digital camera and save them!
Once you have any photo saved, you can also call it up and print it. I do this for my favourites. Some manipulation might be needed as to size and quality. Photo packages allow you to do this.
One free facility which I find useful was to call up 'Irfanview' from the Internet. This comes with a guide or 'Wizard' to allow you to install it onto a hard drive. The main features are 'thumbnails' and slide show facilities. You can add any photos or sequence of photos and the program will play them for you. You can still select and copy any individual photo at any time with Control C, to any folder of your choice.
I have hundreds of photos framed on many people's walls! You can put photos into letters, say, in WORD, at a size you think is appropriate and send them to friends. You can put them into emails as attachments.
Generally, I print photographs at A4 size, as that is a common paper size and A4 frames are cheap, either to buy or to make. I frequently use 'Microsoft Publisher' for this. Photos can then be 'cropped' to fit the frame. Tips: don't buy expensive photo paper! If the results are poor from your printer, you have wasted a lot of money! I buy HP180 gms Superior Paper Glossy. This is about £10 for 50 double-sided sheets and gives great results, especially for framing under glass. Good for calendars, too. Print a 'quick' economy' test first on cheap paper - to see if the size and colours are O.K.
A long answer, which I accept may be confusing at first. However, I have tried to give some ideas for you to consider. It depends upon the machinery you have and upon your experience. But it 'ain't rocket science'! If you 'get hooked', God help you! Best wishes.