This should help. Play sounds across multiple slides (A WAV runs through it)
http://www.rdpslides.com/pptfaq/FAQ00047.htm

Hi All
I am begining to explore Microsoft Powerpoint useing Version 2002 (
10.6501.6714-17889 ) on Micreosoft xpHome. I created a short slide show  and
I am haveing difficulty making music play for the entire slide show. I can
only get it to play for one slide at a time. Can anyone tell me how to insert
the sound so it will play for the whole show?

Open you PowerPoint show and click on the Slide Sorter View button in the LH
bottom corner of the program window.

When all the slides are as thumb nails on your screen click on the first
slide to make it active. Right click your mouse on this slide and
select Slide Transition of the appearing list. The slide Transition window
opens on your right side of the screen and under
Modofy Transition. Click on the down pointing arrow of the Sound box and
select the last item of the options Other Sound.

Find the WAVE (*.wav) file you want to for your presentation, select it and
click OK. Click onto the check box below this
one to Loop until next sound.

This will embed the wave file into your presentation and play it until the
end of the show or until you insert
another WAVE file further along the show. If you do it in Normal View the
files will not be part of your presentation.
The larger your WAVE file is the larger your presentation will be.

You must do this in the Slide Sorter View area as only there are the WAVE
files embedded in the show
and you do not need to add them sepperately when you save the presentation.

Unfortunatelly PowerPoint does not accept MP3 files as embedded files.