Open Windows Media Player and go to the "Tools" tab on the top of the user interface. Click on it to take you to the section for customization of the application. Click on the "Options" tab from that screen. This will bring you to the screen that will allow you to determine what audio files the program will play.
Click the "File Type" tab from that column. There will be a list of supported audio file extensions that you can check mark to activate. Check the space provided next to ".WAV" to make the file extension readable in Windows Media Player.
Right-click on a .WAV file that you have saved on your computer and then select "Play in Windows Media Player." Windows Media Player will load and the WAV will begin playback.