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.
Thanks. Let's say I do burn both the presentation AND the sound file on the same CD. Second question: MUST both files be in the same folder at the time I burn the CD? For example, can I have my presentation in diretory A, then insert sound file from directory B, then burn both files on the same CD (pulling them from the two different directories)? Will PowerPoint on the CD get confused when it tries to look in the "other directory" for the sound file? Thanks.