WinXP sp2

I have a excel (Office 2k3) file that I was sent with many URL's to .wav
files. When I open the link the file plays with sndrec32.exe. I don't get any
windows or application showing up to play, pause etc. I have to end via task
manager. If i paste the link into Media Player (file>open URL) it will play
in Media player fine.
If I open and .wav file from the desktop it uses Media Player. All File
association's that I find say .wav files should open with Media Player.

I upgraded to Media Player 11 hoping to resolve and no luck.

Please help me know how I can make the links open by default in Media player
Not Sound Recorder.