First of all, Pro Audio does not have Freeze function, so let's not confuse the OP with that word.
You already mentioned the proper tool: Bounce to tracks. I think it was greyed out because you had no tracks selected. And you need to select both soft synth MIDI-track and the respective audio track.
UNLESS...
There's one open question though: What soft synth are you using (can you use soft synths in PA9?) ? If you're using the miserable MS Wavetable synth of your soundchip, that can not be bounced like soft synths. That must be recorded either by physically leading the signal from soundcards output and then back to input, or recorded in real time with your soundcards "what u hear" setting, if such exists. If neither of those are possible, you're out of luck.
You are working in a surrounding so ancient, that it's hard for you to get good advice anymore :o/ In any SONAR version, new or old, you'd be able to do this in ten seconds, assuming you DON'T use MS Wavetable synth.
I strongly recommend upgrading to something like Music Creator or any of the X-series.