I believe that the arrow is only automatically visible in a Kiosk
presentation. This requires that all navigation be done with buttons and
hyperlinks and triggered animation as it will disable click-to-advance or
hitting the space bar or arrow keys to advance.
--David

You can click ctrl A at the start of a show but it will be gone when you
close the powerpoint or use kiosk mode but you won't get on click animations.
Or we have a free simple add in that gives you the choice of visible always
or auto always.
http://www.pptalchemy.co.uk/visipointer.html