Is there a reason why you want to play WAV files on your iPod? The size of WAV files is so large that you'll fill up your iPod really quickly that way.
Also, what is it that you're trying to "drag" into the library? The files that you see when you "open" a CD in windows. You can't copy WAV files that way even if you wanted to copy WAV files to your iPod.
This is what you should do:
(1) Launch iTunes.
(2) Go into "options" and then select "importing."
(3) Click where you have an option to select file formats. I personally use AAC files with a bitrate of 192. It seems to be a popular choice and is the perfect blend of small file size and sound quality.
(4) Then, pop in a CD while iTunes is still open. The CD information will be read from the CDDB and all the artist/song info will be pulled from the CD.
(5) Select the songs you want in your library by clicking the appropriate check boxes.
(6) Click the "import" button on the upper, right hand corner of the iTunes screen.
Once it's done ripping the songs, you'll have perfect AAC files on your computer of all the songs you've selected. You can then drag and drop those songs onto your iPod.