MrRats, when all else fails, you can simply redirect the audio flow from your speakers towards a recorder, trap it all in a wav, which you can inscribe onto a CD. The simplest way to do it is the following:
Click Start->Run-> type "sndrec32"
This openes the sound recorder. Keep that window open.
Now open the volume control. You can usually see it in the system tray, to the lower right corner of the screen.
From volume control click the Options->Properties.
In the Properties window there is a rectangle labeled "Adjust volume for" with two or three radio buttons named, in this order: "Playback", "Recording" and "Other". Now simply check the "Recording" radio button.
From the "Show the following volume controlls" rectangle make sure you have checked the "Microphone" and "Speaker out" or "Wave out" options. After that simply click OK.
You will now see a window called "Recording Control" (as opposed to the original named "Volume Control" if you remember). You will most likely see a "select" ckeckbox below "Microphone". This means the recording stream goes from the microphone. Simply change that by checking the "Wave out"/"Speaker out". Now everything you hear on the speakers should be avalible for recording.
Finally, if you still have the "Sound Recorder" window open, select it. Click the red button for recording. Then quickly play-back the desired midi files. Everything should be captured in a temporary wave file. After the recording is over click the red button again. After this save the file created with Sound Recorder and you are ready to go.
Conversely, if you want better sound quality or stereo you will have to use some other recording tool, like gold wave. Search google for Gold Wave, which should be easy to download and use. Gold Wave is a very small and smart audio utility avalible under shareware (but if you plan to use it a limited number of times it is quite useful). The principles are the same, you can use Gold Wave to capture an audio stream that is present in the computer. Simply play-back the desired file and you are done.
Interestingly enough, I used this technique once to communicate with someone over voice. I used a voice synthetyser (TalkIt) and another person using his microphone. You can also let someone listen to what you are listening at that time on your speakers...