According to Microsoft, "Windows Media Player can frequently play media clips that PowerPoint cannot." So, if you have a stubborn video file that won't run in the standard PowerPoint video player ...

Open a presentation in Microsoft PowerPoint. Access the slide where you want to embed the video sequence. Click the "Insert" tab on the program menu and select the "Video" icon.

Microsoft PowerPoint for the web now lets users add videos with subtitles as well as closed captions to their presentations, making them more accessible.