Brian Corr has given us an excellent idea that is very inexpensive (I believe Goldwave is $50).
However, converting from digital to analog and then analog back to digital will damage the audio from a purist viewpoint. If this is for home performance only, you are the judge. However, if you will play the music in public (no legal issues implied here), you want to either have very good analog converters, or do the following suggestion.
There are some MIDI synthesizer programs that can write the synthesized audio samples directly to the hard drive as a .wav file. I am aware of one that is US$159 if you are interested. The result is a straight conversion from MIDI to WAV, and it allows you to change the instrument sounds for each MIDI voice control if you want to. It also is a MIDI sequencer, so you can modify the MIDI file with this.