most music and video files do not survive the transfer process from Powerpoint into Keynote.
AIF files should work however.
The only consistant way I have found with media files is to have separate PPt and media files given to me and then I place the sound files in Keynote manually.
Ask who ever sent you the PPt if they can send the sound separatly.
The only way to extract a sound file from PPT is to open the PPt file in Powerpoint and save as a webpage. The sound file will be in the folder thats created. Then place the sound file in Keynote.
You need Powerpoint to do this either on a Windows or Mac, if you dont have PPt for Mac or have a PC, I'm sure you will find a colleague to help you out.