Make an AutoRun CD
Visit MVP Echo Swinford's site where you'll find an explanation of the steps needed to create an autorun CD manually.
Or if you use PowerPoint 2002 and want to incorporate the new PowerPoint 2003 viewer into your auto-run CD, Echo's added this tutorial as well. It allows you to take advantage of the new viewer's ability to play back the new animations in PowerPoint 2002 and later.
Microsoft has this entry on How to use PowerPoint Viewer 2003 to create an autorun CD presentation
Enter the Mac
If you need to make cross-platform PC or Mac CDs you'll find a thorough explanation of how to do this for Acrobat PDFs on Mark Anderson's site. Most of the information applies to PowerPoint presentations as well.
GSTechnologies has software tools for creating both PC and Mac Auto-Run CDs. The Mac info is here but there's no link back to their main page.