Right click on the media player object and choose Properties. Click in the
box that says 'Custom' and then click the '...' button. There you get
options galore (probably depends on the version of WMP installed). Be aware
that your sound will only be linked, though - even if it is a WAV that is
under the file size limit (see below).
Let me clarify what I meant before:
The easiest way to add a sound to a slide is Insert>Movies and Sounds>Sound
from file. This puts a speaker icon on your slide - you then have a choice;
either drag the icon off the page and apply a custom animation to play it
either automatically or on the next mouse click; or leave it as it is on the
screen - you can then activate the sound in slide show by clicking the icon.
* No Media Player window gets activated *. If your sound is anything other
than a WAV it will not be embedded into the PowerPoint file so it's best to
have it in the same folder as the PowerPoint file before you insert it and
copy it with the PowerPoint if you transfer to another machine. Even if it
is a WAV there is a file size limit for embedded WAVs -
Tools>Options>General allows you to set this to suit.
Another way to avoid calling up a media player window is to use either a
shape or a picture as an Action Button - right click on the shape and choose
Action settings; then select 'Play sound' and scroll to the bottom of the
list to browse for your sound - the same linking rules apply as above.