No.
However, with phone manager pro you can see the file names. After logging into voicemail, look at the voicemail tab in PM Pro. Resize the last column as if you want to make it larger and a new hidden column will appear with the file names. This way you can locate a .wav file by the date/time and caller ID.
Peter
PS the key word above is "pro". This trick only works if you have phone manager pro licences.