Regarding WAV files

Is there any way to import .wav files, I've tried converting .wav files into .csv format but I am unable to import .csv files as well

Are you talking about the standard audio .wav file format?
Matlab functions wavread or audioread can read .wav files.

You should be able to read the file as a Matlab matrix.
Save this matrix in a .mat file (as the only variable), then right-click on your subject in the database explorer > Import MEG/EEG, and the select the file format "EEG: Matlab matrix (.mat)"

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Yes, Thank you very much it worked!