For the stable Slicer documentation, visit the 4.10 page.
When I click on "Load selection to slicer" I get an error message "Could not load ... as a scalar volume"
There's a chance you could be running out of memory when loading the data. Make sure you use a 64-bit version of Slicer. The 32-bit Windows version has constrained memory and often does not work with clinical CT studies.
Another potential cause of loading failure is corruption of the DICOM files by incorrect anonymization. Patient name, patient ID, and series instance UID fields should not be empty or missing (the anonymizer should replace them by other valid strings). Try to load the original, non-anonymized sequence and/or change your anonymization procedure.
If none of the above helps then check the Slicer error logs and report the error on the Slicer mailing list. If you share the data (e.g., upload it to Dropbox and add the link to the error report) then Slicer developers can reproduce and fix the problem faster.