You can't really "convert" MIDI files to waveform audio because MIDI files are just notes, instruments, volumes, etc. They aren't actual recordings of sound, so they have to be played by a synthesiser. This is why the instruments can sound different on different computers.
1. If your system is set up to play MIDI files with a software synth, and not with hardware, you can record it exactly the way it sounds. In Volume Control, go to Options, adjust volume for recording, and select "Wave" to record from. Then open any program that records sound (Sound Recorder would work if it could do more than 60 seconds at a time), hit record, play the MIDI, and trim the beginning and end silence off.
2. Modplug Tracker can open MIDIs and save them as wav files. It's the easiest way to do the "conversion" you want. Unfortunately, it doesn't handle dynamics very well. The songs tend to come out rather quiet. You also might occasionally run into MIDI files it won't handle properly.
3. TiMidity++ is probably the best synth you can get. It handles all MIDI files I've thrown at it, and if you get a good patch set (there's a free one going around, "eawpats"), the sound quality will be excellent. The drawback here is that it is phenomenally hard to set up. I won't give you any links, because you aren't smart enough to get it working unless you can find everything you need by yourself. And even then there's no guarantee.
That said, I note that this is a SRB2 editing forum, and I note that you're asking about converting MIDI files to wav files, and I note that wav files are often desired because they can be converted to Ogg/MP3 files. Have you noted that SRB2 supports MIDIs just fine, that they take up a lot less disk space and bandwidth, and that they were actually all SRB2 used until 2K3, when AJ finally lost his common sense? If not, make a note of those things. As someone chronically short of disk space until recently, I'm not particularly happy about the glut wadmakers are causing with unnecessary music changes.