Well, judging by your question, you have Office 2007.
Try to follow these steps:
- Select all slides ("Home > Select > Select All" in the menu)
- Go to the "Animations" menu, tick "Automatically after" in "Advance slide" submenu, and enter 00:01 (for testing purposes, so that you wouldn't have to wait 15 seconds)
- Click "Slide Show > From Beginning"
Make sure that you do everything exactly as described. If it still won't work, then it is some kind of bug or configuration problem.
ED2: OK, some people had the same problem with powerpoint before. Here's one solution. It's for PPT2003, but from what I've gathered "this is not a bug, it's a feature" :) So chances are that it's the same in next versions.
ED3: Yep, it seems that this is actually your problem. I've reproduced it on my presentation. If you have a single audio track you want to play across all slides, then this is what you have to do:
- Select that sound icon on your slide
- Go to "Animations" menu
- On the "Animations" submenu set "Animation:" option to "Play across slides"
If this is not your case (you have multiple audio files, or something else is different), then we'll try to find some other solution.
Hope that helps.