Best way is to have a decent soundcard that can save the .wav files while the midis are playing (some old cards can't do this at the same time), then convert them to mp3 or burn them as audio tracks as you would do with any cd burning.
Wingroov has an awful soundtable. If the midis are in XG format (some proprietary Yamaha format - great btw mostly if you have a XG compatible card), a regular midi player (that usually plays files using GM - General Midi - format) sometimes won't play the sounds as they were meant to be played and the result can be quite strange, some sounds might be different if the custom XG sounds were used (and they do make a difference).
Also, some old midis have the drum patterns saved in channel 16 while the common standard for drum sounds in midi is to have them in channel 10. These files will also sound incorrect.
Sometimes I had some fun placing midi files into FL Studio (previously known as FruityLoops) and replacing the outdated midi sounds with some more accurate samples (non-midi) or VST instruments.