You add an action setting.
Right-click the object, choose Action Settings, then Hyperlink to. In that
Hyperlink to dropdown, choose Slide... and then in the resulting dialog,
check the appropriate slide.
Alternatively, right-click the object, choose Hyperlink, then click the
"place in this document" icon. Choose the slide you want to link to from the
list.
These instructions are for PPT 2003 or before.
