PCM, without going in to the details, is essentially uncompressed audio. The ".wav" file extension unfortunately covers a lot of different compressed formats of sound (even MP3 files can be stored as .wav files), and only the uncompressed ones (PCM) can be played by Directsound.
Windows Sound Recorder can tell you what format a sound is - open a sound and go file/properties - it should say something like:
Audio Format: PCM 22.050KHz, 16 Bit, Mono
It says "PCM" there so you're safe. If it doesn't, you can simply choose file/save as, choose a PCM format, and save a version Directsound can play.