OLE objects have verbs. It's an old idea that isn't really discussed (or developed) these days.
You can see the verbs that an object offers. For your thing I did:
1. Run REGEDIT.EXE
2. Search for exact string ".wav"
3. I eventually hit an object that supports it. It shows up in it's SupportTypes. On my box, it's wmplayer,exe.
4. The registry keys are below the shell folder. My wmplayer has "open" and "play"