As the slideshow is running at the top, a smaller version, almost thumbnail size appears in the top left corner as the larger slide is going. Thumbnails show is not marked as an option. Please advise.

Page link is: windrosecenter.com/index-2.html

Hello Nikki,
The jquery on your page is an old version. Please make sure to upload the latest generated by the nivo slider ( windrosecenter.com/ScriptLibrary/jquery-latest.pack.js )

still not working .. I deleted all the files and re-uploaded and still getting the same thing. Please advise.

Well,
It is your css breaking the slider:

.masthead .banner img {
     display: block;
     height: auto ! important;
     max-width: 100%;
     width: auto ! important;
}

Please remove this - and be careful what/how are you styling.