To be able to see the sound controllers on the sound files (they play automatically by default but instead of the controller you see a blank box), you need to open the preferences folder in your browser, and select the QuickTime Plug-In as your application to see .wav files. Instructions to change the settings are explained below. (Pictures show 'Macintosh' windows, but 'Windows' windows are very similar.

You need to have downloaded the QuickTime plug-in to be able to do this.