ADX files are audio files using a licensed encoding system from CRI Middleware. AIX files (also an audio file) are essentially multi-channel ADX files (aka, one AIX files contains multiple ADX files). As for what ADX stands for, I don't know if anyone actually knows the answer to that.
As for converting WAVs into ADX, that's dead-easy. You can use the official free tools (do a search for "adxencd.exe" - it's a command-line tool), which will produce "version 03" ADX files. Or you can use the (pirated) official non-free tools (I don't know what to look for. I never bothered downloading them, since adxencd worked just fine for me) which will produce "version 04" ADX files. No, I don't know what the difference between 03 and 04 are. If I recall correctly, HCS said they're essentially identical, but that instead of a "03", there's a "04".
Considering that HCS wrote a tool that can seperate AIX files into individual ADX files, it seems reasonable to me that, once you have the ADXs generated, you could in theory combine them to create a AIX file. I just haven't any idea how to do that.
Anyway, hopefully that was slightly helpful. Mouser X over and out.