Anything like that, sound files, video files, need a media player to open and run them. Windows doesn't play them, the media player does, so there's nothing you can do about that.

Now, if you mean there is a delay before the associated media player opens and runs the file, the reason for that could be many.

Over time, as software, updates, (including Windows Updates), are installed, many Windows Operating Systems will get slower. The OS you had when you first got this computer, (or first installed Windows 7), fast, instantaneous, responsive, is probably not the same OS you have now. The OS is doing more in the background all the time, and so response times suffer. The only solution there is to reinstall the OS as a clean, fresh, install.

However, there may be other factors;

1] Virus or other malware infections. Keep your system free from malware.

2] Yearly cleaning. A Desktop gathers dust. Open the case once a year and blow out all the dust and ensure the fans and air vents are free. Laptops also collect dust and although you cannot necessarily open it up, you can still ensure all air vents are free from dust.

3] Unwanted Startup programs. Make sure Startup applications, (those that load when the system is turned on), are kept to a minimum.

4] Faulting or heavy applications. You say you have 5 media players, but not which ones. May be the one associated with .wav files is slow and cumbersome. If so, use a different media player.

That's a start at least.

Mark