Alfons:
Since MIDI files have no musical sounds in them at all, just commands for notes, converting MIDI files to sound files isn't a simple conversion process. MIDI requires a synth, sound module, or computer sound card to actually produce the sounds you can then record.
If you use a synth or sound module, you'll have to play the MIDI file through it, and take the line out of it to record. You could then record to your computer through the line-in patch on your sound card.
If you're playing your MIDI files via your computer and using your sound card for the sounds, you can record from your sound card's line-out. I believe you can also simply record internally using your computer's built-in sound-recording tools - I've never done this, so I'm not sure. Sound software packages like Cakewalk make this simpler.
However, using your sound card to produce the sounds is frequently not very satisfying, since most sound cards don't have very good samples for MIDI - though the better ones do OK. (Yamaha produces sound card versions of some of its synths and modules, which, I presume, would sound as good as the synths themselves.)
Hope this helps!
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"The problem with the world is that the ignorant are cock-sure, whereas the intelligent are full of doubt." - Bertrand Russell