Its been a lot of fun putting together my presentation...but now I can't
add sound and get it running properly. I've watched utube demos and
works great for them....!

My goal: a continuous autorun of 40 slides with the audio starting
at the first slide.

However...in doing all the steps.... music simply won't start.

Second time I tried a new file: blank sequence of slides going thru the same steps
.....and this time I get sound...but will not advance.

I am obviously overlooking something and would be grateful to anyone
who can help me fill in the missing blanks.

Is this like a slideshow of pictures you are playing through with sound? If so I would use Windows Moviemaker. If you have to use powerpoint, what is the format of the sound file?
Try this:
1. In PowerPoint 2010, you need to click the Audio Tools Playback tab and choose Automatically from the Start drop-down list.
2. Then, on the Animations tab, click Animation Pane.
3. Click the arrow directly to the right of the sound’s item in the Animation pane and choose Effect Options. In the Play Sound dialog box, choose the Effect tab.
4. In the Stop Playing section, choose the After XXX slides option. Enter 999 in the box (the largest number allowed) so the sound will play throughout all your slides. Note: PowerPoint counts each display as a slide, so if you show some slides more than once, they count.
5. Click OK to close the dialog box.

If I understand what you're asking, this should work.

scbarton's method should work perfectly but in 2010 you can get there more easily. Instead of choosing"Automatically" in the Start dropdown choose "Play Across Slides" and you're done.

You might also make sure the sound animation is first in the animation list