Add a mouseclick action setting to a shape. It doesn't really matter what type of action setting you use ... NEXT SLIDE for example. It won't actually convert as that action.
You'll need a way to tag shapes in order to make this work.
Our StarterSet Plus upgrade to the free PPTools StarterSet costs less than US$20 and includes a handy tool that lets you tag shapes, edit links and more. More information about the PPTools StarterSet is here.
You can also do it yourself with a little VBA. You'll find a few useful VBA examples here: Working with Tags (and a bit about Functions)