Open Windows Explorer (or an equivalent program of your choice), select a folder and, using Windows' usual Left Click, Shift-Left Click, Control-Left Click mouse commands, select all the files you want to load in Vox Studio. Drag the selection over the screen and drop it over the Vox Studio window (or, if Vox Studio is minimized, hold it over the icon in the taskbar until the Vox Studio window opens, then drop it), et voilà, your files will all load in Vox Studio. That works not only with ".wav" files but also with telephony files. You cannot mix file types within a single drag and drop operation though; all files should be of the same type. For simplicity it is advisable to drop the selected files over the file tree pane as dropping them elsewhere may actually trigger the playback of the dropped files (see next paragraph).
Drop the files in the window to load them.