Vegas is quite simple to use. Simply add the block to your page, and it will create a full screen background on your page.
Picking files is quite the same as using the built in slideshow block. The main difference is that you can drag-and-drop to re-order the images for a custom slideshow.
For the overlay image, you can pick from any png or gif image in the 'Vegas Overlay Images' file set. So you can use custom overlays to match your design.
All configuration options have (?) style icons with more information about what they do as well.