From what I've read here, I'm not a BES admin, it depends on the version of BES to which you're connected and if the BES policy allows you to play the wav files.
FWIW, I had opened an account at GrandCentral: The New Way to Use Your Phones
but never used it. Recently they came out with a client that can be accessed through the BB browser and it works great. This is what voicemail should be, short of a text transcription, this is a really slick interfaced designed specifically for mobile devices. Yes, you can play voicemail from the browser and it is free.