Are you sure you have .wav files? Those are sound files only.
Windows Movie Maker should have made .wmv files for you, which is a type of video file that includes sound as well.
If you want to make a regular dvd-video out of .wmv files, you’ll need to convert them. You can use Nero Vision if you have that, or you can use any one of a dozen other programs. Some of them include, FAVC, AVStoDVD, and DVDFlick.
Edit: eparico beat me to the punch by 20 seconds…and I sound like an echo