__setslice__ is deprecated - you'll want to use __setitem__ with a slice argument.
Note that, per the Python documentation, slices can only be done in the following syntactic forms: a[i:j:step], a[i:j, k:l], or a[..., i:j]. The colon-based syntax is used to define a single slice object, but as the second example shows you can have multiple slice arguments (they get passed in as a tuple of slices).
Here's an example which prints the key argument, to see its form:
>>> class Foo(object):
>>> def __setitem__(self, key, value):
>>> print key
>>>
>>> a = Foo()
>>> a[1:1] = 1
slice(1, 1, None)
>>>
>>> a[1:1:1] = 1
slice(1, 1, 1)
>>>
>>> a[1:1, 1:1] = 1
(slice(1, 1, None), slice(1, 1, None))