Recently I have been working on a short movie and had to add an audio file (.WAV) to it.
I rendered the video with the audio (Yes, I ticked the box in the rendering section settings) and then tried to play it on Windows Media Player. But it says it can't play the video. I COULD play the video without the music, and I COULD play the video on VLC Player. Just not on Media Player. It's important to me to get it working on Media Player.
This seems like codec trouble. You probably chose 'Windows media' or 'Video for windows' in the output module. But this only sets the container for the video - the box if you like. The codec determines how the video is organised inside the box.
You can set the codec by clicking 'Format options' in the output module.
When you choose 'Windows media' as the container, you get a popup menu with it's own 'Export audio' checkbox.
When you choose 'Video for windows' 'Microsoft Video1' should work fine in the media player.