I followed the instructions in "Help" but it doesn't work.  It doesn't want to bounce anything except audio tracks to a different destination audio track.  If I select the MIDI track I want to bounce it comes back with, "You haven't selected any audio..."   I can't even get it to bring up the MIDI tracks in the source drop down box.   

Try freezing the track instead.

I concur with Dubdisciple.  You SHOULD be able to bounce the midi track, but its not necessary.  Freezing should accomplish the same outcome.   
 
There are a few forums that address midi hardware restrictions that supposedly prevent conversion from audio to midi, but Ive never come across this issue myself. 
 
Good luck!
 

nitejamr@att.net
It doesn't want to bounce anything except audio tracks to a different destination audio track. 

MIDI by itself does not bounce or freeze because there is no audio. What is the MIDI track output setting? Usually a MIDI track sends data to a hardware or software synth which is in turn routed to audio track(s). These tracks need to be selected along with the MIDI track in order to bounce.

MIDI output track is set to Microsoft GS Wavetable Synth.  First, I selected the MIDI track I wanted to bounce then and the Audio track I wanted to bounce to.  Clicked Tracks, > Bounce to Tracks.  It shows the source track as the audio track that I clicked and the destination as a new track.  There's no mention of the MIDI track being the source track.  I was fairly certain what would happen but I clicked OK.  I was right.  Nothing happened.  It didn't create the new track because it was looking at the Audio track as the source and there was nothing there.  I finally just ran a cable from the headphone jack jack on my computer into a four-track analog tape deck.  Then out of that back into the mic jack in the rear of the computer.  Then recorded the MIDI track on to another audio track.  A little more noise than I'd like but not noticeable with the other tracks playing.  I would still rather do it using bounce but it doesn't look like that is going to happen. 

nitejamr@att.net
MIDI output track is set to Microsoft GS Wavetable Synth.

This is the problem. I would recommend disabling the Microsoft GS Wavetable Synth as a MIDI output in Preferences and forget about it. Add the TTS-1 soft synth to the project, route the MIDI track to it, add an audio track to the project and set the input to the TTS-1. Starting with X3, when no MIDI output device is defined, opening a MIDI file in SONAR will automatically and TTS-1 with all the appropriate track assignments.
 
Tutorial #4 covers how to work the soft synths in SONAR.

For a long time I was recording the MIDI tracks using a synth then playing them back and recording that MIDI track to an audio track using the Audio Out from the synth.  Worked fine.  Long story short I started having problems getting the analog audio signal from the synth into the sound card.  I ended up installing Sound Blaster Z (which is supposed to be compatible with Sonar x3 Studio.)  I finally got Sonar to record the MIDI on an audio track but the signal is slightly distorted and has a delay.  Goes in and out quickly.  And I still can't bet the MIDI to play back through the speakers. I connected headphones to the Audio Out from the synth.  Sounds fine.  So the problem is either with Sonar or the sound card.  Could there be a setting somewhere that I've missed?  

Here are the instructions for setting up a Sound Blaster Z in SONAR X2 Studio https://www.cakewalk.com/Support/Knowledge-Base/Audio-Hardware-Setup-Guide?audioMake=Creative&audioModel=Sound+Blaster+Z&product=SONAR+X3+Studio it may be a start with solving your issues (although I would expect most would suggest using an interfaced designed for DAW use instead of the Sound Blaster).

Went to the site and set everything according to instructions.  It still doesn't work.  I know the analog Audio is going in.  At one point I had sound showing on the playback meter but the sound still refuses to come out.  Is there a way to uninstall and then reinstall Sonar x3 on the same computer without losing my projects?  After all, it did work at first.  I'm thinking maybe the software is corrupted.