Hello and welcome to the forums. Not sure which program you are using as your default mail program, so my first question would be, does the default built in "new mail notification sound" work with the program you are using? If it doesn't then I would suspect an issue with the integration of Windows system sounds with you email program. I just built a custom wav file and pointed "Outlook 2007" at it for the "new mail notification sound" and it works fine. Can you tell us what email program you are using?
OK, then I will assume that the default new mail notification sound does work? What is the path to the custom .wav, drop it in your music library at the root of the music library and see if that makes any difference at all. What is the size, lenght and bit rate?