Why wont my .wav readable MP4 player play my .wav songs?? HELP PLEASE!!?

I got an MP4 player this past Spring Break fromy my parents. It is no where near what i wanted but i will deal with it.. besides the fact that it wont read my song files. I looked thorugh the manual and it says it read .wav files, and when it it hooked up to my computor it plays them. But when i spearate them and put in headphones, the songs dont show up. Help PLease!!