What is the difference between linking and embedding media in a lesson?

What is the difference between linking and embedding media in a lesson?

The Media dialogue gives you the option to insert a media file as a linked file or as an inline player (thus embedding the file).

With a linked audio file, you click on the link for the file, which appears as an audio icon.

Then the player for that file (e.g. Windows Media Player) comes up in a separate window.

Click the 'X' to close the tab and return to the lesson.

With an Inline file, the player control bar appears within the Web page.