Music files using "Package for CD" Option in Powerpoint

I am trying to burn my show onto a disk, and the show has songs linked to it.

I know the songs are not embedded into the show, so I was looking for a
solution for this. I saw the "package for CD" option in the menu and
according to that, it is supposed to take your show, and all linked files and
burn it onto a disk to be played back using powerpoint viewer. I made sure
the box was checked to include linked files. After the disk burned, no music.

I tried putting all the music and show in one folder and then running the
package for cd tool, still no music.

Is there some special hidden trick to get my music to work? What am I doing
wrong?

System info: XP Media edition service pack 3
Powerpoint 2010

Thanks!