No. Or, at least, not necessarily; it may depend on what OS your friend is using, how it is configured, what software he has installed, what browser he uses and whether you have set the MIME types properly on your website. Give us a few details.

The XP/IE combination is a fairly useless one for testing cross-platform (and browser) compatibility. You should always test everything in the major non-MS browsers before going live; IE is designed to be idiot-proof, and tends to compensate for the more common coding errors; other browsers are not necessarily so forgiving.

What plays the .wav on your own machine?