To insert an existing sound file open Word and click the Insert tab on the Ribbon then in the Text section click on the Object button.

In the Object window click the “Create from File” tab.  Then browse to the location of the file you want to add to the document.  You can choose to display as an icon as well.

As you can see it is possible to change the sound file icon by default you can choose only three different icons. 

However, by not checking that option it will show up as the icon for the default audio player which in my case is VLC.  If you send it on to someone else it will still show as your default player’s icon but will play in their default player.  All a user needs to do is double click that sound file in the document for it to play.

Another cool way to add sound to a Word document is by inserting a file from Clip Organizer.  With the Word document open again select the Insert tab on the Ribbon.  In the Illustrations section click on Clip Art.  A Clip Art task pane will open and at the bottom click on Organize Clips.

  

In the Clip Organizer I find it easiest to search for sound clips.  On the toolbar select Search and make sure most options are checked where to search.  Also, to limit the search to just sounds make sure only sounds is checked for what the results should be.

  

My search for music resulted in several files to choose from.  You can scroll through and preview each one if you want.  By searching the online Microsoft Clip Art Database you are searching over 150,000 free images and sounds. 

Another thing you might want to try is record a message about your document for co-workers through Sound Recorder or other audio recording program and insert that into a document as well.