Wax is a windows mediaplayer metafile extension.
The wax file can point to a wma or asf file.
The asf file can contain video and audio.
So you need to find out how to create an asf.
I don't know but try something like windows media encoder.
I found this with a simple internet search:
http://msdn.microsoft.com/library/default.asp?url=/library/en-us/wmplay/mmp_sdk/filenameextensions.asp