Once unzipped and saved to your PC (should just be one file and you will need sox.exe version 14.0.1), drag it or copy it to your \Garmin folder (that should be where the POI Loader is installed).
Reload your POI's again and the sox.exe will convert the .wav file properly. You will get a prompt to run sox.exe, click run.
I have only seen that warning refer to SOX, so I would say either your Sox file is corrupted, or not in the right folder.
My suggestion is to download Sox again, and make sure it's in the same folder that the POI Loader is installed.
Cheers,