WMM (Windows Movie Maker) should let you import .wav files since it is a file name extension (format) used by the program:
aif, .aifc, .aiff, .asf, .au, .mp2, .mp3, .mpa, .snd, .wav, and .wma
Make sure the file is actually a .wav file. Right-click the audio file and choose Properties from the drop-down menu. Note the extension and program currently opening the file type by default.