A few questions in passing.... Perhaps we can deduce what the problem is.
1. Does the WAV file play ok when you double-click on it in Windows Explorer?
2. Same as above but while UFT is loaded (and consuming some of the memory in your machine)?
3. Do smaller WAV files play OK when imported into UFT? (Mine do)?
4. In a later message you said "It shows up when I click on preview...." but the word "preview" is normally (in UFT) associated with a web page. Does it play OK when you click on "play" after you select it on the "Build" - "Multimedia Library" screen?
5. What "preview" button were you referring to in that later message?