In later versions of PowerPoint when you click on the icon it will display a Format Audio tab. In earlier versions it will display a Playback tab under an Audio Tools section of the ribbon.
From that point the steps are similar to make the audio play throughout the Slide Show. The following screen shots show PowerPoint 2010 and I’ve added the audio clip on my home slide.
Look for a section called Audio Options and the Start: drop-down list. Choose Play across slides.
Depending on the size of the audio clip, you may need to check Loop until Stopped or Rewind after Playing. You can also set the play volume and if you don’t want the icon to display, check Hide During Show.