I have XP now, still had win98 when I used to do that. Anyway, I just looked to see how different it is and it's about the same. As long as you remember where you put the file on your HD you should be able to browse and select it. Then hit apply and/or okay. That was easiest for me since I never renamed the wave files and used them from directories all over my drive.
When you renamed it, did you keep the extension .wav ? (filename.wav) Also, I THINK the file HAS to be a wave file...and if it's something else it'll have to be converted to wave format before it will work. Heh, back then mp3's weren't even common.
Basically, if the filename and format are correct, you should be able to browse and select it, hit apply and it should be good to go. If that's the case I'm not sure why it wouldn't let you apply it.