I bet it'll show up in Processes rather than Applications.

This sounds like one of those things integrated into Windows, just like Explorer. Just like when you're adjusting your sound profile in the Control Panel and are previewing sounds, it's Explorer (probably with some Windows Media Player built in) that is playing the sounds.

Are you just curious about this? If it's annoying, you put a check next to ".wav" for file type association in Winamp.