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 play in Vox Studio. Drag the selection over the screen and bring 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) and then drop it on the rightmost button of the player toolbar (the button with bue, red and green arrows), et voilà, your files will all play in Vox Studio. This works 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.
Drop the files on the rightmost 
button to play them.