That was a bit incomplete there, moskus...
Tomy, moskus is right that you can't convert a MIDI file to audio. What you can do is record the MIDI sequence while it plays.
I don't know Cubase's interface, but with an Audigy the process is something like this:
Enable a fresh audio track.
With the Windows mixer utility, make sure the soundcard to record from the MIDI synth (not from "What U Hear").
Mute everything you don't want to record (if there's a metronome click, disable that).
Hit record.
When you're done, the audio track should now contain a recording of what you heard being played by the onboard synth.
Mute the MIDI track before you play back your new audio track or you'll get some comb filtering between the two.