When you add the action buttons, it should bring up the action settings
dialog box. From there, select Hyperlink to.
Scroll down to the bottom for the "Slide..." option.
Select "Slide..." and click on the slide you want to hyperlink to.
OK your way out.

Also, have a look at:
"Tutorial about how to add a menu to your powerpoint presentations"
http://www.awesomebackgrounds.com/powerpointmenu.htm