My office had the same issue when we all had HTCs & we winded up having to go back to Blackberrys. According to Sprint, it seems that Blackberry devices are the only ones that are MADE or equipt to handle WAV files. Our office is set up the same way, we receive our voicemails as WAV file attachments in our Outlook inboxes. This way, we can get them while away without having to phone into your voicemail box.
Sprint suggested that I come here, to these Forums, to see if anyone out there knows a way to get them to work. I really want the EVO but when I did a test in the Sprint store by sending a voicemail via email, it wouldn't read the format. I, too, would like to find a seamless way to get it to work!