Today one of my clients alerted me to this issue: There is no easy way to view a PowerPoint presentation as a slide show directly from a SharePoint document library, and without the slideshow view, any embedded links in the file aren't clickable. Read this thread at SharePoint University for more detail.
In the end, there seem to be two options (assuming you're not interested in hacking the registry for all users):
1. Train your end users to go through these steps:
Open the file in PowerPoint and switch to slideshow view
Right-click on any URL and select Open Hyperlink from the drop-down menu (no CTRL-click!)
2. Save the presentation in an alternate format, and maintain two copies.
Upshot: pain for the content owner, or pain for the end user, your choice.