A WAV file is just a particular way of storing audio data in a binary computer file. There are many others -- AIFF is particularly common on the Mac platform -- but WAV is the most common.
They are made by running a digitized audio signal into a software application that can package the data up into this format. Basically any modern recording program will do this.
They are transferred exactly the same way as any other computer file is.
As to the MPC thing, I don't know how specifically to do what you ask with that device...