It's wierd that it plays in powerpoint but not when you export it as .wmv. Is the original sound file a quicktime file, I see you said it was .wav but is that the original format? These are the compatible sound/video types that windows likes:

http://office.microsoft.com/en-us/po...in=HA010077717

I would convert the sound file to mp3 and reimport it into the slide show.

Make sure when you insert it you look at the drop down and hit insert and not link. (Like in this picture)
http://www.flickr.com/photos/obsoccer/6982689245/

If all the pieces are in place and not corrupt then Gary's instructions above should work.