One of the export options specifies how FBX handles any media (textures, sound, movies, etc.) in the scene to be exported:
bool pEmbedMedia;
... // Set pEmbedMedia to true or false
IOSREF.SetBoolProp(EXP_FBX_EMBEDDED, pEmbedMedia);
When imported by any program that uses FBX SDK, embedded media files are extracted into filename.fbm\, which is a subdirectory of the directory where the FBX file filename.fbx is located. filename.fbm\ is created if it does not already exist.