Import the sounds into the presentation. There is an icon (like for clipart) that accomplishes that.
I've had this problem. The entire folder to transfer needs to include the sound files, the visuals, and the text. Keep all of this together and you should be fine. The powerpoint program puts them together.
If the sound file is embedded into the PowerPoint presentation, it shouldn't matter. However, just burn both the presentation and the sound file into the CD and voila!
If you still have trouble when the sounds are on the CD, you may need to go in and modify the presentation. In other words, make sure the files are on the CD, open the presentation you copied onto the disc, and "re-insert" them, using the path which shows them on the CD. Make sure the "animation" option you choose is right, or it may not play at the right time.
It's a good question. I've had this screw up, even following the instructions in the help file. It's a pretty sure bet, however, if you do the above.
Good luck!