ASCII FBX files, OBJ files, and other FBX-supported file formats cannot contain embedded media. Moreover, you can create binary FBX files that need media files, but set the export option so that the files are not embedded. In these cases, the file will retain the addresses of the media files.
Then you must make sure that FBX for QuickTime (or 3ds Max, Maya, or any other application that you use to render or otherwise process the scene) can find those media.
Here is how FBX SDK searches for each non-embedded media file in, for example, an ASCII FBX file:
// Resource file must be in the application's directory.
KString lTexPath = gAppPath + "\\Crate.jpg";
...
gTexture->SetFileName(lTexPath.Buffer());