I don't know the answer but here's where I'd look. Windows usually has a way to associate file types (.doc, .jpg, .wav, etc.) with the application that you want it to use to open the file. How/where this is done varies from one Windows version to another. In XP, for instance, it's done through Control Panel > Folder Options > File Types. When I scroll down to .WAV and click on it to select it, it tells me (below) that such files are opened with Windows Media Player (and there's a "Change" button).

My impression is that browsers keep their own list of file types and associated applications and that they don't always consult Windows. I've had a hard time telling Firefox that when I ask to view a .jpg file attached to an email, I always want it to open the file in Firefox, not in Photoshop or Paint. Firefox will do what I ask each time but never remember the checkbox, "Do this automatically with files of this type."