This error message is usually due to the WAV files not being in the correct bit depth for Captivate, most often what you currently have is too hight.
Go back to your audio app and see if there are options to ouput WAV files at a lower bit depth. Captivate uses 16 bit. Your audio might currently be 24bit or 32bit.
Something else to consider is the audio encoding format used. Captivate only likes WAV files that are using PCM encoding. I have a WAV that is MP3 encoded and I can make Captivate gag every time with it. (I use it specifically to demonstrate this issue in classes)
If you are on Windows XP, you can usually fix it easily by opening the problem file in Windows Sound Recorder, clicking File > Save As and simply accepting the defaults for the encoding and things should be good once you save again.
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