From the Powerpoint Help file -
"About music and sounds
You can add music and sounds from files on your computer, a network, the Internet, or Microsoft Clip Organizer. You can also record your own sounds to add to a presentation, or use music from a CD.
You insert music or sounds on a slide, and a sound icon that represents the sound file appears. To play the music or sound, you can set it to start automatically when the slide displays, start on a mouse-click, start automatically but with a time delay, or play as part of an animation sequence. If you don't want the icon to be visible, you can drag it off the slide and set up the sound to play automatically.
If Microsoft PowerPoint doesn't support a particular media type or feature and cannot play a sound file, you can try playing it in Microsoft Windows Media Player, which is part of Microsoft Windows and plays multimedia files in PowerPoint when you insert the sound as an object.
You need speakers and a sound card on your computer to play music and sounds. To find out what's installed and what settings are in use, check the multimedia and sounds settings in Windows Control Panel.
By default, sounds are automatically linked to your file, rather than embedded in it, if they are greater than 100 KB in size. You can change this default to be more or less than 100 KB. When your presentation has linked files, you must copy the linked files as well as the presentation if you are going to be giving the presentation on another computer."
To change the size at which files are linked / embeded, go to Tools > Options > General, change it to a size larger than your sound file, then re-save and resend