You can click Insert > Movies and Sound > Sound from File.
Or, for sound in wav format, you can click Slide Show > Slide Transition.
Under Modify transition, click on the sound dropdown field, select [Other
Sound].
Look for the sound you want to insert and click ok.

Also check this tutorial out:
"Play sounds across multiple slides"
http://www.rdpslides.com/pptfaq/FAQ00047.htm