The picture or audio is actually a seperate file and is not actually inside the document. The server will call up the image file when ever it is needed. Most browsers can handle a wide variety of image and audio formats. Its best to stick with the more common ones however. Images in .JPG or .GIF format are the most popular.
Audio files are usually in .WAV or .AU format.
The fun part comes as you add links to other pages on the net. You may wish to have your pages reference someone elses pages or have them reference yours. All you need to do is to add the anchor which contains the link information. The user's browser will interpret this and go off into cyberspace and automatically bring up the other page. You may also wish to contact the person who owns another page and ask them if they would add a link to your page from theirs.