Since you ask for IE only, I assume your app will be bound to windows machines, right? If so, you should use Windows Media Player, because it ships with windows and every windows users has it installed (is this still true for vista and 7?).
But you don't have to specify a player at all. To embed the system-default player/plugin for the provided file, you could use the embed tag:
<embed src="yippee.wav" width="140" height="60">
The embed still is no standard w3c tag, but works since IE 3. With the new standard HTML 5, embed should become a standard tag and "audio" and "video" are also introduced.