In PowerPoint 2003, which I use, you do this in 2 steps as far as I can figure it out:
1. On the main menu go to Slideshow > Rehearse timings. The slides open and you then click the slides to advance them at a pace you think is appropriate
2. Go to Slideshow > Set up show. In the dialog that appears under Show type select browsed at a kiosk (full screen)
Alternatively for step 2 you can select show type > presented by a speaker and under Show oprtions > loop continously until 'esc'