The wave shield kit should be assembled following the instructions posted here: https://learn.adafruit.com/adafruit-wave-shield-audio-shield-for-arduino/make-it

Continue to follow those directions to format your SD card for FAT.

Follow the instructions above and use Audacity to format your audio file for use with the Wave shield.

Copy the file to the SD card (It should be the only file on the card).

Eject the SD card.

Put it in the SD card slot on the Wave Shield.

Connect a small speaker to the two pins on the Wave shield dedicated for this.

Use Arduino IDE to upload Audio.ino to your Arduino Uno.

This should play your audio file on loop over the speaker and confirm that this part is working.

Add New Ping to your Arduino IDE just like you would any other Arduino library.

It is found here: https://playground.arduino.cc/Code/NewPing/#Download

Use (4) jumper wires to connect the ultrasonic sensor to the Arduino Uno (To the Wave Shield headers).

5V, GND, ECHO - D11, TRIG - D12

Use Arduino IDE to upload Ultrasonic.ino to your Arduino Uno.

Open the serial monitor and move your hand or a piece of paper up and down in front of the eyes to see the distance and confirm that this part is working.

Use (3) jumper wires to connect the sound detector to the Arduino Uno (To the Wave Shield headers).

5V - VIN (Only do this if you are powering the Arduino at 5V with a USB cable), GND, AO - A0

Use Arduino IDE to upload Mic.ino to your Arduino Uno.

Open the serial monitor and snap, talk, poke the mic to pick up sound.

You'll also want to observe the output level when you aren't making any noise. (Ambient)

Set the threshold slightly higher than ambient so you don't get false triggers.