Instead of using a Command button from the Control Toolbox, use an Action
Button from the AutoShapes icon on the drawing Toolbar (I usually use the
Custom Action Button - top left one). When you draw the object on the slide
the action Settings dialog box comes up. here you have two options:
1. Click "Hyperlink to" dropdown and select "Other file". Browse to and
select your program/document/etc.).
2. Click the "Run Program" option button then "Browse" to select your
program/document/etc. If you use this option and you want to open a
document, change the File Type dropdown to All Files because it defaults to
look for program files (exe, com).
The main difference between the two options is that in most cases the bottom
option doesn't bring up the "You are getting ready to run a program that
might cause the whole world to blow up and destroy civilization as we know
it, are you really sure you want to end the world?" dialog box (sorry for
the dramatization).
Hope this helps.