You need to re-save the files as .jpg files. You can do this easy in itunes.
Just drag the .wav files into itunes and right click and select "make mp3". If itunes doesn't have that available, go to itunes preferences > general and where it says "When you insert a CD" click on "import settings" and Import Using: select mp3 encoder. And "good" quality. Click OK and go back to your file and right click (or cmd click on a Mac) and "make Mp3"
Then replace the wav files on the server with the new mp3 files you just made and fix the links in the shortcode.
.wav was never meant to be a podcast (or web) format. It's uncompressed and the flash and html5 players don't know how to deal with it correctly.
-Mike