.wav is a file format used for playing short, non-looping sounds. It is good for sound effects and ambient sounds, but when used for longer files it can cause slowdowns. Blockland uses it for sound effects and anything that isn't in the music format .ogg.
.wavs can be created by any sound editing program. A popular program for this is Audacity, which can convert audio files to .wav and any other format Blockland may use.