I am aware that this question is primarily about Office 2007. This option is available in 2010, and may be missing in 2007.
Paste special, as link
This is based on harrymc's comment.
Copy the entire PowerPoint slide. Select the slide thumbnail on the left list and press CtrlC
Click the arrow under Paste
in Word; select Paste Special...
. CtrlAltV does the same thing.
Click for full size
Select the Paste link
radio button and Microsoft PowerPoint Slide Object
Click for full size
Direct link by slide number?
As you may have noticed in my screenshots from the paste special, the link is actually specified by filename.pptx!slidenumber
. I've tried, but it seems it's not possible to specify the slide number in this way when adding as an object. When adding an object, the only way to get a Slide rather than a Presentation is to create a new one, not add from file.
Basically, just use the paste special method.