It's really irrelevant whether you want WAV or MP3, as the difficulty of converting a MIDI sequence to an audio file is the same for either. You certainly don't want to create an MP3 if you intend to burn that to a CD - the correct format is 16 bit stereo WAV at 44.1kHz sample rate.

'Full duplex' sound cards will allow you to record a MIDI file as you play it - 'full duplex' means the card can handle sound coming in and going out simultaneously.

Nero Burning ROM has a rudimentary WAV editor which will do the job...