The Yamaha 16-bit SY-series wave sample files are really named .W??. There's also .T?? (All Data Files, often contains waves and are much more common than .W??; but aren't supported at the moment), .J?? (Patch parameters?) and .K?? (Sequenced songs). See also the 12-bit format.
Note: Before reading a directory of files on your synthesizer, make sure they have all unique extensions like .W01, .W02, .W02 et c.