This has been extracted from Technofile...
http://aroundcny.com/technofile/index.cfm
**Open an Explorer window. (Double clicking "My Computer" opens an
Explorer window, if what I just said seems confusing.) Click on the
"View" menu, then choose "Options." In the window that opens, click
the tab at the top called "File Types."
You'll see a list of descriptions. These describe the files that
Windows knows about. The list is alphabetical. Scroll down the list
to the entry for WAV files. You may see "Wave Sound" or simply as
"WAV file" in the list. Double click on the WAV entry.
You'll see another window. In the lower part of the window, under
"Actions," you'll see one or more words. (You may see "Edit," "Open"
and "Play," or perhaps just one or two of these.) One of them will be
in dark (or bold) type. Double click the entry in bold type.
Another window will open. In that window, which is smaller than the
other one, you'll see "Application used to perform action:" above a
text-entry line. It probably will look like this:
"C:\Windows\sndrec32.exe /play /close." (Don't worry if "/play
/close" aren't there; I'll show you how to add that part anyway, and
I'll explain what those two words do.) Take out "sndrec32.exe" and
type "mplayer.exe" in its place. If "/play /close" are not there, add
them, so that the line looks like this:
c:\windows\mplayer.exe /play /close
Make sure that the only spaces in that line come after "exe" and
after "play" and that you use slashes and not backslashes. (A
backslash tilts backwards like this ... \ ... while a slash tilts
forward like this ... / ....)
Then click the "OK" button on that window, and the "Close" button
on the next two windows you see. You're done. The next time you
double click on a WAV file, media player will take care of it.
As for "/play" and "/close," they're called switches. They tell
MPLAYER to play the file without waiting for you to click the play
button and then close down when the sound has finished. Good luck
finding those two switches in the Windows help or in most "expert"
books on Windows; they're undocumented parts of the way Windows
works.**
Hope this helps