Those items that you see in the Media Library, such as Album or Album/Artist are not actual folders. They are "views" that are created automaically based on the tags in your files. If you want to create a new View Scheme, right-click on Media Library and choose Add New View Scheme.
If a file does not contain tag information for a particular view, then it shows up as [unassigined]. The problem is WAV files do not support tags, so when you imported them, they are being sorted by their filenames and nothing else. You can tell MJ to tag WAVs, but it does so only grudgingly and the tag info is saved only in the database, not with the actual files.
Like Xen said, unless there is some reason that you really need the actual WAV files, it would be better to convert them to another format. If you are using WAV because you want high sound quality, convert them to Monkey's Audio (.ape). It is lossless compression and the sound quality will be equal to that of the original. If you decode an APE file back to WAV, you end up with a WAV that is exactly like the original.
Rob