It just requires a bit of initiative. Assuming you have a 'mono' lead, plug one end into the headphone socket of your keyboard and the other into the microphone socket of your computer.
Load up some sort of recording program (I think Window's 'Sound Recorder' might do) and then play your MIDI through the keyboard.

Voila, you have a wav file.

P.S. If you don't know what a 'mono' lead is, it's just the lead you use to connect any two recording/musical devices. The ends are the same as headphone's, but you may need a 'converter' on the end if you need one small and one big end.