I know I'm joining a discussion that ended many years ago. However, for those wondering about the "export audio" function being grayed out. Cakewalk Home Studio version 7.0, which I use, has "Export audio..." in the tools menu. This command is intended only to export audio tracks to an external WAV file, and the tracks you want to export must be selected first. It doesn't work for MIDI tracks. Although it isn't grayed out on my particular program, it does give you an error if no audio tracks are selected.

If you are trying to create a WAV of the MIDI tracks, use your soundcard's "mixer" controls to enable recording of MIDI, or "What you hear". The latter is especially useful if you are trying to export a Cakewalk file that has a combination of MIDI and audio tracks. Then record the result to an additional audio track and export it using the "export audio".