I have been able to attach a movie to an icon by the following method:
Insert a picture (a small, icon-size picture). Then right-click and add a link, in my case to an MP4 on my computer. But I encountered an irritating problem:

If I attach a movie, doing Ctrl-Click on the movie icon simply opens it without delay, but Ctrl-Click on an icon that links to an audio file leads to a warning message that one has to approve first before the audio file can be heard. This is quite a nuisance and makes a presenter look bad if he has to do this again and again for each linked audio file. This happens both for WAV files and for MP3 files.

Does anyone know how to make this warning stop appearing? Somewhere I read that Powerpoint prefers a particular filetype for audio... was it MPA? If so, how would I convert it?