How do I embed a file in Power Point

Good morning!

I am having difficulties in embedding a sound file in a power point presentation I would like to email to clients. From the tool bar in Power point, I go INSERT==>Movies & Sounds==>Sound from file. But when I save the power point presentation, it does not embed the file. Would appreciate help from anyone as to what I may be doing wrong.

Thanking everyone in advance for their assistance in this!

Dwight P