To my understanding, .wav file is a list of numbers ranging from -1 to 1 (at least, if you are using a java class called WavFile to convert an array into a .wav file, the array must have values between -1 and 1). When you play a .wav file, those numbers are turned into voltages on your soundcard.
I have never tried this for the safety of my equipment, but if a .wav file was all 1's (max voltage), would your soundcard snap to full output voltage for the duration of the file? This would be very dangerous for headphones and receivers that the soundcard might be connected to, and it may be dangerous to the soundcard itself.
What I'm wondering is whether or not there is some built-in protection from this event in Windows OS.