Put the sound files in the same folder as your PowerPoint file, open your
file, click "Insert", "Movies and Sounds", "Sounds from file", browse to
your sound file and select it. You will be asked if you want to start it
automatically, click "Yes". You can click the speaker icon and drag it off
the actual slide so it doesn't appear, but it will still run.
You can also assign a sound to a slide transition, as well as an object
animation. If you need instructions on that, holler back!
Holler back if this is not what you were looking for.