A WAV file has to be converted to SWF.
WAV Conversion Tool
A good tool for conversion is SWF Generator.
After converting the file, just import it and define it as a the starting file. If you need multiple WAV files to distribute, use the menu generator.
Page url: http://www.helpserver.biz/onlinehelp/lpmme/2.1/generator/help2000/index.html?convert_wav.htm