If you tried to insert them then from:
http://www.publishermvps.com/Default.aspx?tabid=30

Q.  I inserted my [mpg, mp3, pdf, etc.] file into my page using Insert,
Object, and it doesn't work on the web page.
A.  Inserting objects is OLE technology that only applies to print
publications, not web publications. In a web site everything "links", your
.htm files link to other .htm files and to any other type of file. If you
have a video file or an audio file or pdf or doc file, whatever, you have to
upload that file to your site and then link to the file from a link in your
publisher web page. You have to pay attention to the URL of your uploaded
file and then in the hyperlink dialog use the internet address option and
enter your files URL.

DavidF