Students frequently ask me how to insert a sound and make it play for more than one slide.  Here is how to do it in ten steps.  This assumes that you have already found a sound and saved it somewhere on your computer. This is in Office 2003

1. Navigate to the slide where you want your sound to begin playing.
2. Go to Insert>Movies and sounds>Sound from file
3. Navigate to your sound file
4. Click OK
5. Click Automatically
6. Go to Slide Show>Custom Animation (your sound file should be listed)
7. In the drop down list next to  your sound click the effect options. Play sound, Effect tab
8. Click the radio button beside stop playing after (Here there is a drop down box where you can choose the number) slides
9. In Timing tab – to play automatically you can set to start after previous with a 0 second delay
10. Go to sound settings and adjust the volume

This is cross posted at Technology For Learning