I'm going to assume you've made the slideshow in Powerpoint (if not, please provide details) - in Powerpoint you can export your slideshow as an MP4. Go to the "File" menu, select "Export", and choose MP4 as the file format. Review your output video file, and go back and adjust your slide timings as required if you need alter the speed of the presentation.
Now you have a video of your presentation, record the video of you to go along with it. I would play the first video where you can see it, while you record the second one, so you can get the timing correct for them to be in sync.
The final step is to overlay the second video in the corner of the first one. Software like Adobe Premiere Pro can do this easily, if you don't have it, you can likely download the trial version and just use that, if this is a one-off for you. Add the 2 videos to the timeline, on the Effects panel use the Motion settings to scale down the size and adjust position of the second video, and make sure it is layered on top of the first one. I suspect there are various free tools around that can overlay the two videos as well, I'm just not familiar with them - hopefully someone else can jump in with some other options here if needed.