Insert an action button by slide show > action button > custom (or any other)
click on screen or drag to size and change the mouse click > hyperlink to
setting.
You can also select shapes etc and use slide show > action settings or
insert > hyperlink
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What John said.
There are also some jeopardy around on the web which you maybe interested to
take a look at:
"Creating games in PowerPoint" http://www.rdpslides.com/pptfaq/FAQ00616.htm
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Shawn Toh (tohlz)
Microsoft Most Valuable Professional (MVP PowerPoint)
Site Updated: July 23, 2006
3 New PowerPoint Games http://pptheaven.mvps.org
PowerPoint Heaven - The Power to Animate