No, not natively. The MCI player (used by powerPoint) can't handle it.
However, if you want to get inventive you can use the Windows Media Player
from the controls tool box and manually set it up by manipulating the
properties.
As an alternative you can download a free trial of PFCMedia from
http://www.pfcmedia.com as we added a feature for this very thing, it's a
completely automated process.
Austin Myers
MS PowerPoint MVP Team
Solutions to Multimedia in PowerPoint
www.pfcmedia.com