http://www.apple.com/iphone/specs.html
"Audio formats supported: AAC, Protected AAC, MP3, MP3 VBR, Audible (formats 1, 2, and 3), Apple Lossless, AIFF, and WAV".
So somewhere in the iPhone WAV's should play. They'll probably play in iPod mode if you sync them via iTunes.
You could also see if you have webmail access to your work account, and see if Safari will play them.
But WAV files don't play in Mail on the iPhone (only Excel, Word, and PDF attachments are supported at the moment). For that matter, they don't play in Mail.app on a Mac OS computer either, so this shouldn't be a surprise.
The only other option I can think of at the moment is to forward your work number to your cell phone, and use the visual voicemail in the phone rather than the WAV files through email option.
Check with work IT folks. Whoever products the product that creates the WAV files probably has been asked this question before, and your work IT can ask their software supplier if they have an iPhone (or any other cell phone) compatible solution.