With the exception of VST or DirectX instruments, midi tracks will not automatically bounce down to disk to make a CD track. Midi only tells external sound modules, keyboards (or other gear) to play a specific sound at a specific time, but does not contain the audio in itself. The midi data must be processed by your external sound module, interpreted, and then recorded back into the sequencer as an audio track. To achieve this, you must:

Create a new audio track in your sequencer and arm it for recording. Then, make sure the audio outputs of your sound module or keyboard are hooked into your audio card. Begin recording. Your sequencer will send the midi data to the computer telling the sound module to produce the correct sounds. This sound will travel back to the computer as an audio signal which will be recorded into the new audio track. At this point, you can run it through your reverb, EQ, or your other favorite audio plugins and bounce it to disk. You've successfully changed a midi track into an audio track.

Upon playback, you may hear two of each note being played. That's because the same sound is being played by your keyboard as is on your new audio track. You can mute the midi track at this point, or choose not to use your sound module because the sound is already in your sequencer. That's it!