There is 1 main problem you may have when trying to set up the nivo slider.
You see a loading circle and the pictures do not load. What you need to do is go to the module under Advanced Options there are two settings you need to try turning on and off: and . The reason you dont see your slider is because of a js collison meaning your site is trying to load jquery twice. Theese two settings do the work 90% of the time.
Last thing to check is do you have this line <jdoc:include type="head" /> in the header of your site. Not including this line is usually a mistake made by users who are new to joomla and try to make custom templates.
I hope the information is clear and if you still have problems please dont hesitate to contact us at the support center.