You can click Insert > Movies and Sound > Sound from File.
Or, for sound in wav format, you can click Slide Show > Slide Transition.
Under Modify transition, click on the sound dropdown field, select [Other
Sound].
Look for the sound you want to insert and click ok.
Also check this tutorial out:
"Play sounds across multiple slides" http://www.rdpslides.com/pptfaq/FAQ00047.htm
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Shawn Toh (tohlz)
Microsoft Most Valuable Professional (MVP PowerPoint)
Site Updated: June 08, 2006
Added PowerPoint Movies. http://pptheaven.mvps.org
PowerPoint Heaven - The Power to Animate