If your Event has an Action to play the sound, the Action should "Play sound" and not "Run program". If you have "Run program" selected, and have the path to the WAV file as the "Run program" path, then that would definitely explain this. The TD is going to attempt to "Run" the WAV file, which basically means to tell Windows to open whatever program is registered to play WAV files ... which would most likely be Windows Media Player.
You need to select "Play sound" and select the sound you want to play. If your WAV file isn't in the sound list, you need to add it to the Sound Library on the Events tab.