This usually happens when a file is recorded while the audio interface is set to a different sample rate than the DAW thinks it is. For example, the interface is sampling at 44.1KHz but the DAW is expecting 48KHz. When the DAW writes the file to disk, it stamps it as a 48KHz wave, but it's not. If you load it into another DAW, that DAW will play it back at the wrong speed and the pitch will be off.
The insidious part is that the person who recorded the file probably won't notice anything is wrong. At least, not until he sends the file off to someone else, e.g. you! That's when you discover that the sample rate written into the wave file's header is not the sample rate the file was actually recorded at.
If this is the problem, it is possible to fix the file header so that it reports the correct sample rate. SONAR will then be able to import it, quietly performing a sample rate conversion if necessary. The last time this topic came up, I think we discussed at least 3 different ways to address it (everybody else's suggestion was simpler than mine, which involves a hex editor). If you can't find that thread by searching the forum, let me know.