From the menu select "Insert" then "Movies and Sound...". From here select the type of sound you want to include. For example, to include an MP3, select "Sound from File" and find your song. This will place a small speaker icon on your slide.
Then you can select "Slide Show" from the menu and then "Custom Annimation". Select the "Multimedia" tab and then the object you placed on the slide. Check "Play using annimation order" and then "Continue slide show". Set the number "Stop playing after # of slides" greater than your total number of slides and you are set!