Or, in Windows Media Player, go to Tools option in the top menu. From there, click on the Options choice. There will be a File Types tab, click on that. Use the scroll bar to go down until you see the .wav option and check that box. Then hit "OK", and your media player should now play the .wav file.
You can also do this by going to your favorite .wav file, right click on it, and left-click on the "Open With" option. Then click on the "Choose Program" option. From there, you can use the scroll bar to pick the program you want to open the file with. Sometimes the program works, sometimes it doesn't. If you think it will work, check the box that says "Always use this program to open this file type". After that, the Realplayer will always open the .wav files.