As stated above the simplest solution is to record the midi file as you play it, but there is another option.

There are software midi synthesisers that will create a wav file directly from the midi with no need to play the midi at all. Software synthesisers use software (as opposed to the midi synthesiser hardware on the sound card) to play a midi file. Essentially they generate a wav file with the appropriate sounds from the midi file and then play the wav file. Since they are generating the wav info anyway, it's a simple matter to just save the wav file and not bother playing it at all. The advantage of this is that it's faster than recording the midi as it plays in real time; if you're converting a lot of files this can be a real advantage. The only question then is that of the synthesis quality, but this can be very good for some software synthesisers. See the thread Tech: MIDI to MP3 Conversion?, where I mention the Roland VSC software synthesiser which does this, but I'm sure there are others.

Mick