This paper presents a detailed study of the pressure waves and effective mechanical properties of a closed-cell cellular solid with entrained fluid. Plane-harmonic-waves are analyzed in a periodic square with a finite-element model of a representative-volume element, which explicitly considers fluid-structure interactions, structural deformations, and the fluid dynamics of entrained fluid. The wall, cavity, and coupled-system resonance frequencies are identified as key parameters that describe the propagation characteristics. A tube-piston model based on computed microstructural deformations allows us to determine the effective stiffness tensor of an equivalent continuum at the macroscale. The analysis of dispersion surfaces indicates a single isotropic pressure mode for frequencies below resonance of the lattice walls, unlike Biot's theory which predicts two pressure modes. Shear modes are instead strongly anisotropic for all values of relative density rho* describing both cellular rho* < 0: 3 and porous solids rho* >= 0.3. The dependence of the pressure wave phase velocity on the relative density is analyzed for varying properties of the entrained fluid. Depending on the relative density and mass coupling of the solid and fluid phases, the microstructural deformations can be of three types: bending, through-the-thickness, and the combination of the two. For heavy and stiff entrained fluid, the bending regime is confined to extremely small values of relative density, whereas for light fluid such as a gas, deformations are of the bending-type for rho* < 0.1. Through-the-thickness deformations appear only for the heavy entrained fluid for large values of rho*.