Which version of PowerPoint do you use? In 2007, use Home - Select and
display the Selection Pane. Another option: sound might be inserted with
transition or animation, it shows no icon in those cases.
What you can do to solve that is to click on any object. Once it is
highlighted start pressing the "Tab" button on your keyboard; it will
navigate through every single text box, picture, title etc. in your slide
until(I hope) the hidden sound icon gets selected(Just press "Delete" after
that).
Which version of PowerPoint do you use? In 2007, use Home - Select and
display the Selection Pane. Another option: sound might be inserted with
transition or animation, it shows no icon in those cases.