I'm going to cast my vote for exporting with Audacity, for those of you having the same problem.
I originally saved my files with Adobe CS3 Soundbooth, but they wouldn't play in my DirectRT trials.
Open your audio file in Audacity, then export and save with the same file name. This produces a file about half the size and which -- more importantly -- plays as it should in Direct RT.
[note, edited by moderator] Without the Audacity conversion, the files do work in winamp, wmp, vlc, and others, but not DirectRT which does seem to require the conversion.