This is the guide posted on Slackware.com:
Installation ISO disc 1
Installation ISO disc 2 (kde, t, tcl, part of xap, extra part 1)
Installation ISO disc 3 (kdei, extra part 2, testing)
ISO disc 4 (sources part 1, testing-2.6.18)
ISO disc 5 (sources part 2, pasture, slackbook, zipslack)
ISO disc 6 (sources part 3)
DVD Installation ISO image
You have to choose to use an ftp mirror from the list or you can use torrent. Torrent usually works pretty well as there are some really nice guys running big bandwidth links that keep Slackware seeding.
If you want to install a new Slackware system, start with downloading the first 2 ISO discs. That will give you the base system and most of the packages. If you run a light wm like *box these disks are all you need. If you want some of the latest packages or internationalized KDE you can download the 3rd ISO but you can also go to packages.slackware.it and just grab the specific items you want.
If you have a DVD reader/burner you can just use the DVD instead of all the CD ISOs. Like someone else said you can also do a net install from floppy. I've never done it with Slackware but net installs are pretty nice (used them with OpenBSD for example).
Read the notes on Slackware.com if you're going to use a kernel other than 2.4.33. Search this forum and then questions if you can't figure out something. Slackware has the BEST user community of any Linux distro. Good luck.
One of the biggest things about changing from any distro that does everything behind a curtain is that you have to learn to use the packaging system a bit more directly. With Slackware you can get binaries for stuff that Pat (the distro owner/maintainer) wants to include, and most of us build everything else from source. The distro has great packaging tools and a few experts who work on the distro who make their build scripts and tools available to the Slacking community. Once you build an app from source you can package it to be just like an official Slackware package and you'll be able to keep track of it and even share it with other people if you want. Having a lean system is another great reason we love Slackware.