This is what I do in PowerPoint 2003 (PowerPoint 2002 should have similar
options):
1. Select the bell-shaped sound icon on the PowerPoint slide where you have
inserted the sound file.
2. Right-click, and select 'Custom Animation' from the shortcut menu.
3. Click the name of the sound file (such as, sound.mid, sound.wav) from the
dialog box/pane that appears, and select 'Effect Options'.
4. In the 'Effect' tab, under 'Stop Playing', click 'After', and type '999'
(or the required number) in the 'slides' box next to 'After'.
5. Click 'OK'.
You can also refer to the procedure described in the 'PowerPoint 2002 and
2003' paragraph on
http://www.indezine.com/products/powerpoint/ppsoundacross.html.