The wav/mp3 files will be empty of content unless you're actually decoding something to be recorded. It doesn't just record all the time - say you listen for 60 seconds and hear nothing at all you'd end up with a 0 byte blank wav/mp3 file (and not a 60 second long one). It's basically doing recording when a signal is present so, upon playback all the gaps of silence are automagically removed, actually.
I'm not saying that's what's going on in your situation - if you're getting a decode, if you're hearing actual audio from your speakers/headphones/whatever, and yet that audio isn't being recorded by DSDPlus then yes there's definitely something odd going on.
By default, if you just run dsdplus.exe it'll create and record a wav file (at least for me, that is) called DSDPlus.wav along with the DSDPlus.srt file which is the synced log file so you can see what was going on with what you hear based on the time stamps in the srt log file.
If you want to try and force recording a specific file, the switch is -O filename.wav/mp3 (whichever one you choose). But if there's no decode happening, no audio heard, then you'll end up with an empty wav/mp3 file, definitely.
Seems for some folks just running dsdplus.exe with no switches at all (the basic defaults) it records a wav and for others it records an mp3 according to what people have said. Not sure why it would do that since the switchless default run is what the readme/guide says results in a wav by default, who knows.
And yes to what mtindor just said: Windows Explorer has a habit of not updating file sizes automagically either so do a refresh, maybe that's what's going on. Also, even if it shows a 0 byte file, try loading it into DSDPlus just in case:
dsdplus.exe <filename.wav/mp3
Can't hurt...