It depends upon whether your sound card is 'full duplex' or not.

In simple terms, 'full duplex' means that the card can play back and record simultaneously - you can play a MIDI file (with Media Player, for example) at the same time as using recording software (Sound Recorder, for example) to record the sound as it is being produced.

If your card is full duplex, then Windows already has the tools you need. If not, you will have problems with practically any software you try, and your only sure way is to record the sound card output on an external analogue recorder, then play it back in again to record a WAV file. Messy, and not always acceptable quality.

Good luck!