If you have inserted the sound through Insert > Music and Sounds, you will
need to have it stop playing after xxx slides so that the sound will play
through multiple slides.

To do so,
Click Slide Show > Custom Animation. Look for the play effect. Right click
on the effect, select Effect Options. On the Effects tab, click the radio
button beside Stop Playing after XXX slides. Put 999 in the box so the track
will play throughout all your slides, even if you go back and forth among
slides.

Also see:
"Play sounds across multiple slides (A WAV runs through it)"
http://www.rdpslides.com/pptfaq/FAQ00047.htm

Follow Tohlz instruction for your music to play continuously until your exit the show.

Now, to solve your main problem of no slides transition:
1. Open your ppt  or pps file.
2. Click or select your first slide picture area, NOT others object.
3. Click Slide Show Menu > Custom Animation >
4. If you've Inserted picture, find Highlighted Rectangle inside is
   slide0001_image001, click the small down arrow head.
5. Put a check mark on Start With Previous. (set the rest of slides for Start
   After Previous)
6. Click again the down arrow head > Timing > Timing tab > set 0 sec. Delay
7. To check: Click Slide Show button (find underneath)
8. If everything OK, Press Esc key and save your project.

Good luck,
--Rino

I am using PP 2003 in Windows XP

I am trying to get automatic transitions to work to the music with the
presentation. I set the seconds for each slide in slide transition and
nothing. The slides do not advance. What is wrong? I have even tried other
slides out of order and still no luck.