Go to Start > All programs > Accessories > Entertainment and then open the volume control, In there it has different volume levels for different things so you CD Player volume is possibly set higher than your Wave volume. If you can only see a main Volume control select options > properties and you can turn on /off different volume settings. It may be also that your wave volume is set to mute.
Also check your settings on the player, I assume its windows media player. check to be sure that the file type is selected to be able to play wav or mp3 and so on.