When you download clips from the Office Online downloads, they are installed
automatically in your Clip Organizer. (Thanks for mentioning the version of
PPT you're using!)
You can go to Insert|Movies and Sounds|Sound from Clip Organizer and search
for your clip by typing in an appropriate keyword.
If you insert the file from there, though, it may not play because the Clip
Organizer adds a really long path to the file. And PPT can't find/play files
with paths longer than 128 characters.
So what I'd do is find the clip in the Clip Organizer, click it and choose
Properties. Select the file path in the properties dialog box and hit Ctrl+C
to copy it. Then open My Documents and paste the path (click in the address
bar and hit Ctrl+V). Select the clip in the window and Ctrl+C to copy it.
Navigate to the folder your PPT file is in and Ctrl+V to paste the clip.
Then go to Insert|Movies and Sounds|From File, navigate to the clip in the
same folder with the PPT file, and insert that clip.

Signature
Echo [MS PPT MVP]
http://www.echosvoice.com
> Two Questions?
>
[quoted text clipped - 12 lines]
>
> Trung