If Winamp cannot play wav or wv files, download the WavPack Plugin
Winamp may not be able to play a wav / wv file, if it is encoded in 24 bits 96K or more, and your soundcard or DAC can not produce this quality (this can happen also with FLAC files, or any lossless format).
If your wav file is encoded e.g. in 16 bits 48 or 44K, perhaps you don’t have the necessary wav plugin for Winamp.
You don’t need to configure anything, just install and enjoy your wavs!