In case you don't remember for the next time, you can find this in the help section of PPT. The help button is your best friend.
Here's how you keep a sound file going across slides:
Go to insert/sound and music/from file.
Select the file by highlighting and clicking it.
Choose whether you wish it to start automatically or when you click/advance the slide.
Then in the formatting palette under sound, choose
play: (in the drop down menu) choose across slides.
Then in the formatting palette under animation, select (highlight) the file you inserted.
Look down lower and open the media tab and choose how many slides you want it to play through. The default is 999 slides which is a pretty good default, don't you think??
And that should do it.