adding a jquery script to a site is the easiest thing in the world, assuming you are doing at least some html editing. First step is to put a link in your html header to tell the browser it will be using the jquery (a kind of javascript) and to download a library of commands and such into the browser. Like this link:
https://ajax.googleapis.com/ajax/lib...
and another link to a file (the specific script that you want to run)that you will place on your own server
and then in the appropriate place in your html you call on that script which you linked in the header to actually be run. For the kind of slideshow you're using I recommend this jquery written by Jon Raasch, and with very good description of its use and editing on his blog here:
http://jonraasch.com/blog/a-simple-jquery-slideshow