MJ normally gets file infiormation from tags inside music files. Your WAV files don't have album, artist and other tags that MJ can use. (No standard.)
MJ provides a command for transferring file information from the file names to library fields. Select a group of files and right click on them. In the menu that appears, select Library tools and then "File properties from filename." A dialog appears with a place for you to specify a template for the directory part of the path name and a template for the rest of the file name.
Try out the command on one or a few files and after you are comfortable with it, use the command on the rest iof your files.
This illustrates a reason for preferring the Flac or APE lossless formats over WAV format. Once the tags are in the Flac files, they go with the file; they don't get lost when you move files or re-create an MJ library on another computer. While MJ provides tools for backing up and restoring a library (and fixing references to files that are in a different place), having the tag information inside the file makes your library more robust.
Bill