The .wav file requires the mu-law format, 8,000 kHz/8-bit mono. If you want to create an application prompt from a .wav file, the .wav file must use the same encoding, G.711 PCM mu-law, that all Caller Application prompts use. You must create an empty application prompt in the usual way.
If the encoding is correct, you must simply drag the .wav file into Voice Control of the Caller Applications Editor Prompt property page and save the file.
If the encoding is incorrect, you must use an application such as Microsoft Sound Recorder to create a file with the correct encoding.