When a HTML is added and then you select SAVE the dialog box states "To properly display embedded HTML objects, use the Settings>Additional Files>Add Files command............"

When I select SETTINGS there is no ADDITIONAL FILES selection available or grayed out.

Thats for if you're adding Flash. This is how you would add the SWF and FIRE files along with the XML that you pasted into the HTML window.

If all you're adding is HTML then you're done.