Yes, what you have to do is change your Public pictures from its default location under %systemdrive%\Users\Public to your My pictures folder (in my case E:\Multimedia\Pictures) and you can select any number of photos in your folder by holding CTRL + left click. I find it easiest to collapse all folders (right click folder header and hit Collapse all groups), then expanding the folders I wanna use one-by-one and CTRL+Left mouse click. I just changed my Public Picture folder and solved my own problem... woot!
Anyway. This should become a tutorial. I can make pictures and write a better description if anybody is interested?
Multiple Folder Slideshow via My Pictures or CHANGE default wallpaper picture location!