If the file type is a .WAV file, and does not exceed the maximum allowed (you can set it) size it will be embedded. All other sound files are linked and must accompany the presentation if you send it to some one.

 All I've read says you have to attach, not imbed.  I've received several pps
 files where the music must be imbedded.  How is that done?  Please reply with
 simple "basic user" suggestions.  While I'm interested and moderately smart,
 I'm not a tech or specialist.  Seriously, if this can be simply done by a
 basic user, those instructions would be helpful.    
 --
 SDD

There are a couple of tutorials here which should help.
http://www.pptalchemy.co.uk/powerpoint_hints_and_tips_tutorials.html#sounds