Click Insert > Movies and Sounds > Sound From File.
Alternately for wav sound, you can click Slide Show > Slide Transition.
Under Modify Transition, click on the sound dropdown list and select [other
sound].
Look for the sound and click Ok.
Also, check this out:
"Play sounds across multiple slides (A WAV runs through it)"
http://www.rdpslides.com/pptfaq/FAQ00047.htm
Is that what you want?

Signature
Shawn Toh (tohlz)
Microsoft Most Valuable Professional (MVP PowerPoint)
Site Updated: June 08, 2006
Added PowerPoint Movies.
http://pptheaven.mvps.org
PowerPoint Heaven - The Power to Animate
> HI
> WILL I WANT TO PLAY MUSIC IN THE BACKGROUND OF VIDUE
>
> I'M JUST WONDRING IF THERE IS POSSIBILITY TO DO THAT
>
> THANKS