In addition to the suggestions here, you can create a RIFF WAV out of an MP3
using a utility like CDex. This adds a WAV header to the MP3, which fakes
PPT out and makes it think the MP3 is a WAV so it can be embedded. However,
be aware that there's evidence that these RIFF WAV files don't play on all
systems.
There's a step by step guide to Cdex and embedding wavs and mp3 files on our
help site (PowerPoint Alchemy) We've always got them to play on a range of
machines but they don't play in some sound editors.