Lots of things can't be done on the iPhone and this is one of them. I don't think piracy is the problem since you can play them if you read your mail on a Mac.
I do receive voice mail as wav files (Vonage) and I can't listen to them since I started using the iPhone (uses to listen to them with my Treo).
You can do this with orb.
Just add the folder that contains the wav files to the orb server.
Then go to mycast.orb.com and log in. The orb website will see you are in safari and convert the audio to a stream you can listen to in QT on your iPhone.
Make a shortcut in mycast called voicemail that points the the folder where your VM's are.
Mine come in as email attachments. I have an outlook rule that looks for emails from the phone PBX and saves the attachments to a folder.