1>insert the music file:
go to insert >sound>Select Sound from File ...choose the sound which you want ,Click OK and a message prompts, saying How do you want the sound to start in the slide show? Click Automatically.
2>Set up the effect of the sound:
1. click animations tab, then click the custom animation, you can see a pop-up window.
2. Click the sound file that you want to set, Click the drop down arrow of the music item you just added from the Custom Animation list and select Effect Options.
3. A window named Play Sound displays. Select After and then set the total number of slides .Now when you select OK and exit the custom animation box, your sound will continue to play.
For more details about how to do it with pictures, you can view this article: http://www.ppt-to-dvd.com/learningcenter/how-to-add-music-song-to-powerpoint-presentations.html#242
Good luck