If WAV isn't in the Extension List in Winamp -> Prefs -> File Types
then it means one of two things...
WAV Support wasn't checkmarked under the "Multimedia Engine -> Audio Playback" section of the Installer Options
Or if it was, then WAV is not selected (highlighted) in:
Winamp -> Prefs (Ctrl+P) -> Plugins -> Input -> Waveform Decoder (in_wave.dll) -> config.
If the WAV files still don't play, then install the Waveform Wrapper plugin (as linked to in my first reply).
If the problem persists, please attach your List of Plugins
and provide us with a link to a zipped sample WAV file