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