Again, if it's a signal and not a system, we don't say frequency response, but you can just use fft(). That gives you the DFT of the signal, so it is complex-valued. You can visualize the magnitude and phase responses separately. If your signal is real-valued, then the DFT is conjugate symmetric so you only have to keep the "positive" frequencies.
[y,fs] = wavread('foo.wav');
ydft = fft(y);
% I'll assume y has even length
ydft = ydft(1:length(y)/2+1);
% create a frequency vector
freq = 0:fs/length(y):fs/2;
% plot magnitude
subplot(211);
plot(freq,abs(ydft));
% plot phase
subplot(212);
plot(freq,unwrap(angle(ydft)));
xlabel('Hz');
