Maybe the music file is a format that your Mac doesn't recognise. You'll often get problems with PPT to Keynote and vice versa. Fonts aren't recognised, builds and transitions are different and so on.
Are you sure that the file was embedded in the ppt file? It's possible it was located in a folder along with the original and lost the link when it was moved. What the previous poster said is possible as well. Wma files come to find as a possible culprit.