Why can't I open .wav file?

It is possible the WAV is a compressed form which Macs might have problems reading. WAV is primarily used on PCs and while the regular form can be read by Macs you can also get a variety of compressed forms which seem to be pretty PC specific.

Use a utility such as Media Info Mac to get more information on what codecs the wav is using. In some cases simply renaming the extension to something representing a compression form used (e.g., mp3) makes it playable.

Also try playing the file using VLC media player. I know you want iTunes (which only plays a limited range of formats) but at least you'll be able to play it.

It might be worth downloading Audacity (free) - if this can open it you can save it in another suitable format.