WAV - this is the only format that can be embedded.
Than MP3, WMA, MIDI - all of them are only linked and never embedded. WMA
and MP3 can be protected with DRM what foils them to play on another
computer.
M4P from iTune can be played when inserted as object, but they need another
player than Powerpoint uses and they are protected. So you better use them
on your own computer only and convert them to MP3 when you want to use them
somewhere else.

For a start you might have a look at this link:

http://www.playsforcertain.com/tutorial.htm