In File Manager, files with a .wav extension are supported, meaning that you can upload .wav files to your website. You would then make these available to viewers by creating hyperlinks to the file. When the viewer clicks on the link, the .wav file would open and play on whatever player the viewer has set up on their local computer to play .wav files (Real Player, Windows Media, etc.).
However, .wav files cannot be uploaded into the Multimedia Manager. If you want the functionality of the Multimedia Manager (organization into channels, folders and playlists; a "branded" player, player controls, titling/captioning, RSS feeds, ability to quickly link to both files and playlists via the media link function in the editor) then you need to convert to .mp3 to be able to upload it into Multimedia Manager.
If you don't have an audio-editing program, you can download a utility called Audacity that allows you to open a .wav file and save it as a .mp3. You can even do a little editing, such as deleting sections. Audacity can also be used to record directly to .mp3.
Audacity can be downloaded for free at http://audacity.sourceforge.net.
Follow the instructions to download and install both the Audacity software, as well as the MP3 Encoder.
To convert your .wav to .mp3, open Audacity and do File > Open > and browse for your .wav file. After opening it in Audacity, go to File > Export Selection As MP3 to save it as an .mp3 file. You can then upload your .mp3 file into Multimedia Manager.