You are obviously using the Microsoft Wavetable Synth, which is not inside MC, but a part of Windows. That is harder to bounce/export, or was it actually unbouncable..? I don't remember.
You really should learn the basics and use soft synths. They'll give you more and better sounds and huge flexibility.
As already mentioned, MIDI is like digital sheet music. You need to run it to something that plays it, a hardware or a software synthesizer.