This is a long thread.
Captivate has an option for converting powerpoints into
captivate slides, and i my experience is much better for editing
sound. Each individual sound clip relates to each slide however, so
will need to be recorded individually.
Powerpoint itself has a facility for recording narration, but
not as good as captivate in my opinion, see PP helpfile.
My last suggestion is Webex, through web-ex you can record
narration over a powerpoint. This can either be presented live,
with your participants 'dialling in' from their desks and
watching/listening to your live presentation, or you can record the
presentation and then provide a link to it via email, so anyone can
view it any time.
Downside with Webex is no sound editing capability, so if you
stuff up, its back to the beginning and start again, not good if
you have a speech that lasts for hours!
Captivate is the best choice for implementing sounds and
slides together, no doubt about it.