More information is required on what you are trying to achieve - your question is a little confusing as you refer to two different things in the same question ie 'add more than 1 slideshow' and 'burn 4 or 5 chapters'
Do you want to:-
1. Combine several slideshows to produce one slideshow, with each added slideshow being a chapter?
Or
2. Want a DVD with multiple slideshows which are selectable from a single menu?
Or
3. Want a DVD with multiple slideshows which are selectable from a single menu and each slideshow has its own chapters?
Depending on which you want to achieve, the procedure may not be possible, or where possible, the method for creating it may be different.