You cannot "convert" MIDI to audio, you can only record the results of something that responds to the MIDI messages with audio output -- a synth, whether external via MIDI cables (and audio out from the module into the soundcard) or internal (an on-board synth chip on a Sound Blaster-type card or a software synth).
I have no experience with Pro Tools Free but the basic idea must be the same: enable a track to record audio, set its input to be from the line inputs if an external synth is playing your MIDI, or the MIDI synth chip if you have an SB, or the WAV output if its a softsynth. Press record and the MIDI messages trigger the sound-producing device and its output gets recorded to an audio track.