I only explain to do generaly in Cakewalk / Sonar. Sound forge doesn't do this.
First, load your MIDI file in cakewalk. Add new audio track, set the input source from your sound card (eg. SB Live!, etc...). Go to kernell mixer (Bottom right hand in taskbar). Open the volume / play control. Select Options, Property, select Recording. Select the Recording source. If your MIDI device is an internal synth (Soundfonts, Microsoft synth, etc) select MIDI for the recording source. If your MIDI device is an external (keyboards, sound module, sampler, etc...) select LINE IN. Hook your external MIDI device's audio output to your LINE IN on sound card. Back to the sequencer, arm the track, and hit record button. Take few measure recorded and check if they set properly. Adjust the level, etc... Record what you want. Could be each track independent, or the whole tracks at once. Export the result to .wav file.
OR
Load your MIDI file in your external sequencer (could be your sequencer armed keyboard), set a new blank project in your audio application ware, and do the rest... Just make sure you record 'em through Line Input. Not Mic in.
There you go, an Audio-ed MIDI file...
BTW Sarah, if you use Microsoft sound recorder, it only record 60 secons.