.wav .mp4 .ogg are just file extensions. You can edit the name using the rename function in Windows Explorer and change an .mp3 to .wav
The important in those files is the actual container and codec of the audio, the extension just lets the program know what it should be reading, which is why if you change the extension using rename you can prevent some programs from playing the file, e.g. Windows Media Player, but if you tried the play the same file using VLC it would play fine, because it's looking at the codec rather than the extension.
Before you have any obvious questions, please read the ENTIRE manual. Internet Explorer uses .m4a and FireFox uses .ogg, I forgot what Chrome uses (.ogg I think) since it's horrible and I don't use it.
Before you important any sound into Construct 2, make sure it's .wav codec and not just extension, also make sure it's not corrupted. An audio file can be partially corrupted yet still play completely fine, but when attempting to import into programs it won't be able to because of the corrupted data.
Convert any audio files you plan to use to .wav with a proper audio editing software, e.g. Adobe Audition, or the free Audacity (Audition is a lot better, you can get a free one-month trial).
When you go to import audio to Construct 2, you'll get options to export to what bit-rate you what, this value is basically the quality of the audio, the higher it is the better it will sound, but also the larger the files will be and the more processing power your computer needs to use to play them (although unless you're trying to play 12+mbps videos you won't have any problems).
Construct 2 will automatically re-encode sound files to .ogg and .m4a . When using " " to specify sound files in Construct 2, you do not need to include the extension. You also have the option of using a drop-down menu to select the file. Construct 2 will select the file based on the name, not the extension, which means that "Construct2.m4a" and "Construct2.ogg" are for all intents and purposes, one and the same.
I'm a freelance audio/video editor, so I know my business. If you need more info feel free to ask, just be sure to include a tag otherwise I won't be seeing your reply.