This is likely due to the extension ".WAV". To correct the issue please re-name the extension to ".wav" in lower caps.

For Windows XP users: You may have to disable "hide extensions for known file types" in the folder options menu before changing any file extension.

To do so, double click on "My Computer" then locate the "Tools Menu", then "Folder Options". Click the "View" tab then locate "hide extensions for known file types" and be sure that there is no check mark selected. Click "Apply" then "Ok" to exit the menu. You may need to do this before changing the extension any your .wav files.