It's probably set up as a modifier key by xkb, so Slackware doesn't have the ability to use it on its own. If you play around with your .Xmodmap settings you should be able to remove that modifier setting - or you could run
(assuming your Win key is Mod4, which seems the usual setting for it), and that should do it on the fly (might need to restart X though.
I'm afraid I'm not sure exactly where the keyboard definition files are, but this TLDP HOWTO
seems to cover setting it up. And of course, Google is your friend.