Ok, since I don't know which version of PowerPoint you are using, I will
give you a quite detailed guide.
1) In PowerPoint 2003, right-click the sound's icon and select Custom
Animation from the popup menu; In PowerPoint 2007, click the sound's
icon and go to Animations tab in menu, then click Custom Animation in
Animations group. The Custom Animation pane will open and your sound
file should be listed.
2) In the Custom Animation pane, click the arrow directly to the right
of the sound icon to pull down the various options. Then select Effect
Options.
3) Locate the Effects tab and Click the radio button beside Stop
Playing after *** slides
Put a large number in the box so the track will play throughout all
your slides, even if you go back and forth among slides. PPT considers
each transition a "slide," so you should put a large number as you can
in there.
4) Check the settings in the Timing tab. To play automatically, the
timing should be set to Start After Previous with a 0-second delay.
Click OK to close the dialog box.