Can you verify the wav file has been sent as an attachment? If so, tap the file and it should begin to download. Once the file has downloaded, tap the file again and it should begin to play.
Having seen threads about voice mail wav files being sent by email, I believe that some formats of the wav format do not work on WP, but if you update to WP 8.1 (currently in developer preview), some will work (I don't know about all). Look at this thread for how to install 8.1 if you haven't already installed it.