Are you sure that you're dragging .wav files? If you use windows media player, your files could be .wma format (windows wave file format)
If so, you would need to convert them from .wma to .wav. I believe Audacity can do that for you. I have run into this before. In my case, my computer came with a player that can do this conversion. Maybe this is not the problem, but I figure there's a chance that you've run in to the same thing as me.