Auto Play on a web site is a function of your web site creation software, not Slideshow Maker. Before you upload the file to your web site, you need to tell the web creation sofware what want the file to do when someone lands on the page. You cannot just drop a file into your web site and expect it to auto play. How to do this depends on what web creation software you are using, not Slideshow Maker.
In addition to Georges answer - if you are exporting as MP4 then you need make the format streamable - if you don't then the entire file has to be downloaded by the web browser before it will start to play - see below.
Your question refers to 'Slideshow Maker' however this is not a Magix program in its own right (AFAIK) - it is a wizard / function available in Photostory, Movie Edit Pro and Video Pro X - which are you using?
MEP and VPX definitely have the option to make mp4s streamable, I also use MP4 Faststart to make the mp4s streamable.