Here’s a list of file types that Connector allows placing onto a page and creating an http link:
ai
bmp
ct
doc
docx
emf
eps
gif
icml
idms
incx
indd
indt
inma
jpeg
jpg
pcc
pcx
pdf
png
psd
rle
rtf
sct
text
tif
tiff
txt
xlsx
All Connectors support placing these file types in InDesign.