Andrew May from Microsoft explains how PowerPoint 2003 and 2002 use the MCI and Windows Media Player behind the scenes to bring multimedia content within slides.
He mentions:
When PowerPoint needs to play a media file, for example as part of a slide build or when a user clicks on the file, it examines the file to determine which media player application is best suited for playing. Because MCI installs as part of the Windows operating system, if PowerPoint determines that it can play the file using MCI, then it uses MCI. If not, PowerPoint attempts to play the file using Windows Media Player. If the file is not compatible with either player, PowerPoint simply does not play the file. PowerPoint uses the DirectShow technology to gather file information to determine which player is appropriate.
Read this at the Office Developer Center

