I'm sorry if this has been asked before, but how exactly do you add the .wav files to your desktop? (I have Windows 98, if that helps). I'm guessing it's probably amazingly easy, and I'm just blind.
Go to Start > Settings > Control Panel
double click on "Sounds", there should be list of Events (Asterick, Critical Stop, etc.). For each event that you want a sound, click on it then hit Browse to find the sound file, doubleclick to choose the sound file. That should be about it and I hope I answered your question!