keithsurfer,
The easiest way to do this (for large files), without having to change any config files on your server, is to ftp the files to your server in a subfolder of some sort (eg: www.example.com/media/)
Then, in your exhibit, just can put a link to the file in the "text" content. something like the following would do:
< a href="www.example.com/media/song.mp3">
my song
< /a>
If you want to embed it in your page, this is a bit more tricky, put a starting place would be how to embed something with quicktime (mov, mp3...) :
http://www.apple.com/quicktime/tutorials/embed.htm
I think it is also possible to upload those files trough indexhibit filemanager (available when you edit your exhibit - it's one of the icons over the textarea)
This method though is limited by your php configuration (search the web for how to set this, there's plenty of not so hard tutorials out there; you'll feel good when you make it happen!).
If you can change it on your server (or ask your service to do it for you) you should be able to upload the files and then insert a link like I mentionned before (you just do not need to figure out the path by yourself and can use the web interface instead of an ftp program + indexhibit)
Hope this help. If you need more help, try to explain in more detail what you already tried and what you couldn't figure out.
*EDIT
You should go only with the FTP method but, for the record, I've done it with +50megs files on a dedicated server space. The thing is if the operation times out on the server end, your file upload will not work... so shared servers (most affordable web-hosting plans these days) are almost out of the question for big files, it is completly unreliable, like Vaska mentioned. (see bellow)