You could also run it live from their CD, or you could (if you have enough hard drive space, reduce the size of a partition to install Slackware into..
Or just add another drive (bootable, from your GRUB menu)
As well, read the Slackware information on install etc..http://www.slackware.com/install/
--you might not need all the CDs (6 in total) or the DVD, but if you can do so, it is probably best to get the set (OS + applications etc..)
I haven't used Slackware for a long time, but it looks like it installs via pre-configured sets, eg desktop, developer etc, just as the older Suse Linux did
One can always do a custom install, but you have to watch what you don't install (take out), and you likely have to look over their sets (pre-configurations) to see what is being included, in order not to get a mangled installation