If I understand correctly, you imported a wav to your project, added it to a timeline, then built a dvd folder. You looked in the folder and found that your wav had been changed to mpeg audio.
Wav is uncompressed and great quality, but the space on a DVD is limited and would quickly be filled up if all the audio and video wasn't compressed. That's why Encore has to transcode all non-mpeg file formats to mpeg upon building.
Your best option is to output all your assets from your editing or compositing programme using lossless codecs (e.g. quicktime animation / photo jpeg) and then let Encore transcode them all for you when you're ready to build.
Simon Bonner
youtube.com/simonsaysFX