|Are you sure you actually "embedded" the video and not had it in the same file folder as the presentation?|
I'm no PPT expert, but from what I read in various forums, it can't be done. 2010 does it by default.
Again, I won't mind being proven wrong. Google around and see what you can find. We don't get a lot of PPT questions in this forum, but there might be someone lurking in the background who can help you.