Okay, Im testing out my answers with ppt now, ill post soon.
Okay, embed means THIS. Basically, you make any item(say image, font, sound, video) a part of your presentation. Thats called embedding. And whatever file you embed, its saved WITHIN your presentation ppt file. Note that in office 2007 theres a powerpoint option tha says "link sound if more than 100 kb" so you need to uncheck it if you need to save the sound within the ppt file.
For a wav file, go to insert menu, then something like sounds and video clips, then sound from file. Im not sure how it is in other versions of office, but its something similar, i remember using them. Im using 2007 right now, and in there, its pretty easily found on the ribbon. You can use the timings/custom animation box to specify when the sound starts, on mouse click etc.
Now this sound icon, you can always drag it off the screen in design mode. And you have an option to hide it during the presentation mode in timings/custom animation box, i believe. Its called "Hide During Show" or something similar.
For deleting, click the sound icon, or any other file's icon in the design mode, and press delete key.
Well, a pps is just a renamed ppt. nothing more. Just rename it to .ppt and you're done. Open the ppt and right click on this element and save as picture. now this only works for pictures. so for others? easy. File->save as-> web page. Then go to the directory with the name of the web page and you'll find all your resources there... pics, vids, sounds et al.
office cant save natively to pdf. you need free pdf printers like cutepdf or pdf995 or such. then install them, you need postscript too, then just go to file->print, select the printer you installed, and print it. thats all folksie. i just tested all these stuff, so if youve got a problem, ill try to solve it for ya.