I'm having troubles inserting a downloadable file that points to wav file that is in my DNN directory.  I browse to it after clicking the "downloadable files" button.  Is there something I need to change.

Please check the following article:

Restricting Media Files by Extensions and Types

http://cutesoft.net/developer+guide/Restricting-movie-Files-by-Extensions-and-Types.htm

 

You can restrict uploading media Files by Extensions and Types by editing the security policy file:

The security policy file (default.config, admin.config and guest.config) can be found in the /CuteEditor/Configuration/Security folder. In security policy file you can find the MediaFilters element element . By default, it contains the following value:

<security name="MediaFilters">

       <item>.mpg</item>
       <item>.avi</item>
       <item>.mp3</item>

</security>