Joerg, I use a program called Total Recorder, available here:

Click here

With it, you can play a WAV file on the computer, while recording another sound through any other input. My main objection to it is that the record level seems to be quite low, so I always have to normalize files after recording, but I've been able to do some sound layering of the sort you want with it. The registration price is $11.95 US, and it'll only record a short segment on the unregistered version. You could also use TR to record a MIDI input (either a file or external source) to a WAV file.

I also have another program called WAVMaker III, which transforms a MIDI file into WAV. It's in the neighborhood of $100 US registration, though, and only a limited number of sound description files (needed to generate the various instruments in the WAV file) are included with the trial version. It won't do the transformation on the fly, though, you would have to record to a MIDI file, then run the transformation. Total Recorder would probably be just about as useful.