Hi Rob control-click on the wav file and choose Open with...
From the menu either select the app you want to open the wav file with or to change the default app that opens wav files from now on choose "other..."
In the "Choose App" window select the app and tick "Always open with".
By the way what app do you want to open the wav file?
Also, you can drag a document/audio file on to the app (in the Dock) that you want it to open in. e.g. drag your wav file on to Quicktime and it will open in Quick time.