You first use Insert > Movies and Sounds > Sound from file to get sound in your
presentation. If you want it to play throughout the presentation, see:
Play sounds across multiple slides (A WAV runs through it)
http://www.rdpslides.com/pptfaq/FAQ00047.htm
Saving to a CD can be done from within PowerPoint 2003, but I don't know what
version you have. If it isn't 2003 you'll want to study:
Sounds/Movies don't play, images disappear or links break when I move or email a
presentation
http://www.rdpslides.com/pptfaq/FAQ00155.htm