The wav file has to be identified as such in the resource file. Double-click on the 101 in the resource editor window and replace the Type "CUSTOM" with "SOUND". You should see something like this when you've done.
Code:
[-] C:\Temp\Project1.RES
   [-] "SOUND"
      [+] 101
Compile and run the exe. There's a link to a very good tutorial on resource files in my signature.