First, record the timings of your Slideshow - you play the slideshow in real time,allowing each video to play, letting each tansition happen and giving your 'audience' time to read the slides - basically you run it as if you were giving the presentation. At the end, you say YES to saving the timings.
THEN you export it as a movie, using the timings you've saved. REMEMBER to untick the 'hide extension' box (so the .pptx. shows) and to click 'movie options' so you can fiddle and adjust - you can even add a director and other credits! If you can, choose a format other than windows movie (WMV). If there is no other choice, use MPEG Streamclip to convert it to MP4.
RECORDING TIMING
On the top menu bar, choose 'Slideshow' and then 'Record Timing'. Play the whole powerpoint in real time as above. When you finish (or exit), accept the timings when prompted (unless you want to re-record) and then ou can export the powerpoint to video - see next point (and youtube video below).
Basically, it exports the presentation with your timings as a movie - bad timings will mean the video won't run very well :))
EXPORTING TO VIDEO