There's a third party add-in:
http://www.speechover.com/index_files/recordoverMP.htm
If you do this a lot, it's probably worth getting.

And Geetesh has a tutorial here:
http://www.indezine.com/products/powerpoint/ppnarration.html

Once a sound starts playing you can usually click on the microphone to
stop/start it, but everything has to be done from beginning to end per slide.