Hey Maxime!
Video embed codes are definitely doable (as are almost any HTML code, since HTML is full supported). What you'd do is create a "Text Page", then paste the embed code into that. Here are a few examples of sites that are already doing this:
As for the audio, if you have an embed code, that'd be the way to go. You could embed the audio exactly the same way as the video.
And here's the code you can paste into a text page to play the file (assuming is an mp3 or compatible file type):
<audio controls><source src="YOUR_FILES_PUBLIC_DROPBOX_URL" type="audio/mp3"></audio>
Hope that helps, I'm glazing over quite a few details, so feel free to report back if you need more help :)