I'm not an expert on the topic, but I know that .wav files are usually created by transferring data from a peripheral device, such as a disc drive, to your computer's hard drive. 

So if you were to create .wav files to use in fs2002, you would have to find a medium for recording sounds in a format so they could be uploaded to your hard drive, such as a digital camcorder(?)

How the .wav files are implemented in fs2002 is governed by the Sound.cfg file in the aircraft's sound folder.  For more on the structure of sound.cfg files, you may want to post in the Design Forum.

Good luck!