You can add MP3 tracks from iTunes but not MP4.
I have purchased most of my MP3 tracks from Amazon and they get added automatically to iTunes.
When using PSE I usually navigate directly to the Amazon folder on my hard drive.
If all your iTunes music is purchased from the iTunes store or ripped from your CD’s you will need to convert the tracks you want for your slideshow from MP4 into MP3 or WMA.
It's a very convaluted process, but this is what i have to do:
Burn Itunes track to CD
Rip the track back onto the computer
REename the file that was ripped back to its original name
Reimport into Itunes (if needed)
I always give my ripped tracks names like Boston - Foreplay - wav --- to distinguish it from others