Ron, should be able to play a .wav file okay if it was created with a codec the Mac can decode. To add it as a sound in Mail.app, go to the Mail menu and select Preferences... Click on the General button and then cick on the pulldown menu next to New mail sound and select Add/Remove... Click the little Add button at the bottom and navigate to the sound file you want to use. Highlight it and click Open. Click Done when finished and select the new sound file as your new alert. The files are kept in ~/Library/Sounds/ That's the long way.

The short way is to just drag the file to ~/Library/Sounds
As a note, I composed this reply on the train and before I could hit the Submit button, I realized we were pulling into my station. In my rush to get my coat on, the MacBook Pro slipped off my lap and landed face down on the floor. I got home, expecting the LCD to be cracked, but alas, it seems none the worse for wear.
