Downloading Youtube videos is pretty straightforward with the Mozilla Firefox web browser. The programme offers the installation of an add-on called "Flash Video Downloader". Once the add-on is installed, you'll see a download button appearing under the Youtube videos.
As for the sound file on Wikipedia I've mentioned above, you should be able to download it with right click and "save as".
One word concerning the file types: Youtube videos are flash videos (*.flv) and the file on Wikipedia is an *.ogg file. You might have trouble playing those files with Windows Media Player. Last time I used Windows Media Player, which is a while ago now, it wouldn't play these file types, so I switched to the VLC media player. I had seen a lot of colleagues with a background in engineering using it in their presentations and thought if all the boffins are using it it can't be that bad, and indeed the VLC media player turned out to be much better than the Windows Media Player.
I reckon once you've downloaded the files onto your hard disk, it shouldn't be a problem to place a link to them in your Powerpoint presentation. However, reading your posts again, I'm beginning to think you want to embed the videos or sound files rather than link to them. In this case, maybe you can find some help
here on Microsoft's website.