Thinking that the easiest way (without having to edit a lot) is to create your "little steps" to be triggered by user clicks in Powerpoint, import the PPT-slides in Captivate and be sure to activate 'on mouse click' for Advance slide when importing.
Be aware that every PPT-slide will be imported in his totality, not every individual object, so editing is not that easy any more. But in CP4 you have the roundtripping to PPT from within CP. If you have hyperlinks in the PPT, p.e. to jump to another slide, they will not function any more in CP, you'll have to recreate them manually.
Another idea: if perhaps you do have Adobe Presenter 7, or the eLearning Suite (has Presenter) you could use that to convert the PPT, and afterwards insert (interactive) CP-SWF's when necessary. In Presenter you can also have the same behavior as in PPT and moreover hyperlinks are fully functional.
Hope this helps,
I'm not sure if this is what you're looking for but here goes... Many animations from PowerPoint don't seem to work at all in C4 (try getting a 3-D image from PPT to show as anything but flat - Hint: screen shot, paste as image) but my workaround for some simple animation, like building bullet by bullet in PowerPoint, is rather than build animations on the same slide, use the "thumb-page turn" method of building the additions one slide at a time. You know how you can draw a stick figure "running" in the corner of a book by drawing him one "frame" at a time in a different position and thumbing thru the pages to simulate the movement? That kind of thing. It's not true animation but it keeps the images/slides from being so static they put folks to sleep... and you control the clicks as pages instead.
One way to accomplish the goal is to record the PPT with Captivate as it plays. If you recorded in Full Motion mode, it should retain all animations and even show 3D. And if you recorded in Simulation mode (Assessment or Training) it should insert a Click Box everywhere you click.
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Wow. Cool! I'm a new user who only uses Captivate at the tip of the iceberg. Maybe I'll get more indepth training soon.