@Davide: I see that you are using Catch Everest Pro theme and you have issue adding in the Featured Slider.
To add Featured Slider. Go to “Appearance => Featured Slider”. Then you will see this type of Slider Options https://pinterest.com/pin/548594798329509357/.
So, now you can choose which type of slider you want. For easy option, just select the “Image Slider” and then in “Featured Image Slider Options”. Just upload the image and details as per your need.
For more about the slider. See the theme instruction at http://catchthemes.com/theme-instructions/catch-everest-pro/