Just put all three images in the same image (for ease) and then create a standard rectangular selection and use the marquee tool to move it over the second and third slides, copying each as you go. At least I think that would work.
However, you'd have to have your slides perfectly straight in the scanner, etc.
If you're planning to use Photomatix for your HDR, you could try the 'align images before combining' option to improve your chances further.