As I know, it can not be saved as a exe file in PowerPoint. It have to be
convertered with a conversion software.
I used PPT2Flash to transform my presentation to a flash file and I found
the converted file can also be saved as a
exe file. For more information, you can go to this site http://www5.sameshow.com/
Make sure you try the PPT to Flash Studio version . The standard version
does have the function you need.
The main function of this software is to converter PPT to flash.
Convertering PPT to a exe file is the addtional function .