I have no .midi to test it with, but surprisingly there is no problem with playing .mp3 files.
Tested with two differnt .mp3 files without problems; be it in the sound options dialog when I press the Play button or via /splay command.
Why didnt I thought of that?
THANKS, Riamus2. 
But still I dont understand why it wont play the .wav files. They are valid WAV files and they play in WMP, WinAMP, etc.
I guess a (temp) solution would be to convert them into .mp3 format. If I only knew how to do so.