Is the slider you refer to a regular control? I tried creating a modeless dialog that included a slider bar, but it doesn't show up. I assume that the PeekMessage loop is stealing all the cycles. Also, would a regular Windows dialog work in full-screen mode?
Based on the DXUT example, I assume you have to use a specially designed slider. I am reduced to drawing lines with D3DXCreateLine, tracking the mouse coordinates, doing a hit test for the thumbtrack. Kinda primitive.
There are quite a few GUI libraries available for use with DirectX which could provide you with a slider widget, libraries like Rocket and CEGUI come to mind, but I'm not sure what their development state is now (it's been a while since I've used them)
Another option would be to create a very basic ui system yourself, so you can write your own slider widget. You'd still use basic functions to draw your slider, but you could provide some clean encapsulation for mouse events and logic.