The Markup > Audio Annotation command allows you to associate a Waveform (.WAV) file with an icon and place it anywhere in the active markup layer.
While this feature does allow you to play .WAV files for selection and testing, it does not provide the necessary tools to create a new .WAV file. Sounds can be created using a sound recorder utility.
This command is available only when one or more markup layers are displayed in the Detail File Viewer window.