If you do refer to things outside the document, at least provide hyperlinks to them. Provide some context for the document at the beginning of the document if it is needed. Hints given by navigation panels can give the user an idea of the context. The user may get lost, and may not have the proper context. They are downloaded by the browser upon user request, and then the browser initiates another application on the workstation to actually play the sound or the video clip.
Most browsers maintain mappings for numerous other file types.
But once again, bandwidth constraints make extensive use of these features in unfeasible from a performance point of view. If these types of files are used, be sure to include the size of the file with the hyper-link to give the user an idea of just how long they might have to wait to transfer the file to their local terminal.