There are also utilities that will read the pattern data from a MIDI, generate a MOD-file, and then -- assuming you have some knowledge of sampling and tracking -- you can export to WAV from your favorite tracker.
This method is especially good if you want to tweak the instruments and possibly the song itself a little bit -- say, if you have an audio card that plays MIDI instruments via FM synthesis, or the samples in your wavetable suck.
MID2MOD I believe was the name of one of those utilities, but I've not been on the MOD-scene for a while.
If you have an especially snazzy synthesizer, you may be able to upload the MIDI to the synthesizer's sequencer, have IT play the MIDI back, run the MIDI output from your synth to your system, and have the tracker capture the MIDI data, but that's overkill.
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