How do you convert it?
In Windows XP, the Sound Recorder application would allow you to simply change the format by opening it, choosing to save it and then selecting Change in the dialog box. The correct format there is Format: CCITT u-Law and Attributes: 8.000 khz, 8 Bit, Mono.
Edited 7/15/2013: You can find my new post regarding using using the old XP version of Sound Recorder on Windows 7 here: http://webmaxtor.blogspot.com/2013/07/convert-wav-to-8-bit-8-khz-u-law-format.html
The problem now is it's not very clear how to choose the same options.
In Audacity with your file open, confirm the project rate is 8000 (shown in lower left corner of progress bar).
Then, choose Edit | Preferences | File Formats.
In the Uncompressed Export Format, choose Other...
Then, in Header, choose WAV (Microsoft) and in Encoding, choose U-Law.
Then, choose File | Export as WAV and simply name it appropriately.