You have to convert the midi to audio first. There are a few ways to do this, but perhaps the easiest is simply to use a DXi.
For ex., add a new audio track to the project and in the FX box of that track choose the VSC DXi (virtual sound canvas). Then go to your midi track and for the track's output choose VSC.
Once you've done that you should be able to mix down and get the midi stuff along with the audio.
Another approach is to "record" the midi data to audio, but this is a bit more complicated.
The DXi approach is a breeze (assuming you are happy with the sample sounds). If you don't like the VSC samples, you can try the Live Synth Pro and download some Sound Fonts. I think Sonar comes with a 30-day free trial version of Live Synth Pro.