Ok; I found out that it is AAC Audio file; So how do i add the song that I like to my slide show? Is the work around the AAC file? or If I buy the entire CD from a retail store and add it to mu itunes, will that work?
If the file type is not "Protected AAC Audio File", but just "AAC Audio file" it should not be grayed out in the music library view in the Photos slideshow. Unless you are using Music in the Cloud. For example:

The song is stored three times in my iTunes Library - once a protected version, once a matched version in iCloud, once locally. not protected. Only the local copy is showing in black and can be used in the slideshow.
Check the cloud status of the song in iTunes, if the song is showing a cloud icon and needs downloading. Then click the download link to save it locally. Can you now use it in your slideshow? YOu may need to restart Photos and iTunes to update the Media Browser.