It looks like you have "linked" and not embedded the audio files.
Extract from PowerPoint 2010 Help file:
"Considerations for linking or embedding When your presentation contains linked video or audio files, if it is possible, it is a good idea to embed them instead. Embedding media files will guarantee their playback, but will also make the presentation file significantly larger. Linking files will allow you to change or update the media file. However, it is not possible to optimize linked video or audio files for compatibility."