Step 1:

Download and install the freeware program: Jet Audio Basic from c|net Central which allows you to convert a MIDI file into a WAV file.

Step 2:

Create a new directory where you can find it, and then save all the MIDI files you want to include on your CD to that directory by right-mouse clicking on the file name and choosing: "Save Target As..."

Step 3:

Launch Jet Audio from your start menu and then click on the option that says "Conversion".

Step 4:

Click "Add Files..." and then select all the files you want (hold down the control or shift key while you click on them) and then hit the Open button.

Step 5:

Make sure the Output Format says "WAV" and then press the Start Button

Step 6:

Thats it! Go open your directory and now you will find your original files and files with a ".WAV" extension. Drag those to your CD-ROM Writer Drive and follow your normal procedures for burning a CD. If the program gives you an option, make sure you choose to make an Audio CD (you don't want to make a Data CD which is just a backup of the files).