Movie compression is normally required for smooth playback and to save bandwidth and disk space.
QuickTime Pro is the tool we recommend under both Windows and MacOS X for converting multiple individual PNG files into a single movie file. It can be licensed from Apple for $29 USD.
However, on Windows, in order to produce high-quality Windows Media 9 files that are embeddable within PowerPoint, you will likely need another tool. In our case, we have found Sony's $79 USD Vegas Movie Studio to be capable of converting QuickTime input files (.QT or .MOV) into Windows Media 9 output movies (.WMV).