Insert an action button by slide show > action button > custom (or any other)
click on screen or drag to size and change the mouse click > hyperlink to
setting.

You can also select shapes etc and use slide show > action settings or  
insert > hyperlink

What John said.
There are also some jeopardy around on the web which you maybe interested to
take a look at:
"Creating games in PowerPoint"
http://www.rdpslides.com/pptfaq/FAQ00616.htm