I've tried to make a Power Point presentation but I've to many videos and rendering inside so the presentation doesn't have a good portability and continuity. I would like to make directly a video, the problem is that in a video I can't go to the next or the previous slide (that in this case can be a piece of video or a conventional "static" slide with text...) like in a presentation. What software or tool can I use to have this feature in a video. Best solution would be: use the same command (right/left arrow, mouse click...) of the PP presentation to go to the next or previous video slide.
Video is not directly going to handle your needs. What you need is real presentation software. Power Point is a giant joke in the industry because it is horrible. Media sequencers and real presentation software are able to deal with your situation by playing back images, video, audio and text at will.
I mostly use software designed for churches for this kind of thing so I'm most familiar with products like MediaShout and ProPresenter. There are also similar products that don't have the church specific functionality, but these packages also handle the general cases well.
Basically you give it an order of file playback and configure your transitions and the software handles playing it back when you advance the "slide".
As far as free options, you could probably use something like vlc, though I'm not sure if you could get rid of the on screen display and it won't be as easy as professional solutions.