My daughter just asked me to show her (again) how to do exactly that so she
can play some of her fav midi tunes on her mp3 player.
1: Go into the Mixer Control panel (double click volume icon) and figure out
how to have mixer set to record the "synth" (what "plays" the midi). Exactly
how to do that seems to vary with every soundcard so ... For both my SB Live
and PCI128, the dialog box has a column of on/off toggles to indicate what
channels are available for recording (note how this would allow one to tape
"along with" something else, e.g. sing into mic and record all

. If
recording what the pc's playing using the synth I enable midi, if recording
from my stereo (vinyl etc.) I enable line-in. The second column for Voice
can be used for MSAgent speech-to-text input, e.g. could feed taped message
to ViaVoice or DragonDictate etc..
2: start up your recording software and get it ready to record (XP's might
be different but earlier versions of SndRec has a 1 min time limit). Only
problem here might be getting the "midi out" as the input for recording
depending on what your sound card offers for a mixer. I use SoundForge to
record. It has a nice little level meter so you know when you have the
"input" coming from the right place if you play something while checking.
3: I use "whatever" to play the midi, e.g. WMP, WinAmp and have even used
CakeWalk Pro if/when I want to play with the instruments and record that
result.
P.S. I think you'd find if you have the mixer set correctly, you can play
the midi's in WMP while recording them using Nero's SoundTrax. SoundTrax
should then be able to save them as wav files and undoubtably allows you to
directly burn a music cd.