For what I think you want, you'd need 3rd party software, e.g., Fraps, or
Camstasia. Or you could use MS Producer, a free PP add in. (All would create
an .avi that could be converted to mpeg2 when burning to a DVD.) That's
assuming you want your presentation to play as a 'movie' and not a
'presentation'.
HeyWend, You can have a try with PPT2DVD. It special in converting powerpoint
presentations to DVD/MPEG. You can download a free trial copy from the
download section at http://www.ppt-to-dvd.com