OK! Here goes:

(Once again, I will be using the analogy of the pianola /player piano
 used on the WHAT IS MIDI page)

A MIDI file is a completely different sort of technology to an actual audio recording. Think of it in terms of grandmas old pianola piano.
Here, I'm talking about the sort of piano that you put a roll of paper in, that has small holes in it.  You pedal away on the piano and the piano interprets the holes in the paper roll and turns them into sounds. The old piano is the instrument that actually makes the sounds, but it needs the piano roll, (the roll of paper with the holes in it)  to tell it what to do.  The roll of paper does not really contain a recording of the song at all, just the instructions to tell the instrument, (the piano) HOW to play the piece of music. To make an audio recording of that piano roll, involves you putting down a microphone alongside the piano, as the piano itself interprets the piano roll. The microphone then picks up the sounds made by the instrument, (the piano.)

 So let's get back to the MIDI file:

The MIDI file is the 'piano roll'. 
The SOUNDCARD card on your computer (that contains the sounds needed for the song) is the 'piano'.  So once again, we need to make a recording of the soundcard actually playing the sounds, as it is told HOW to play them by the midi file. As the computer plays back the sounds from the soundcard, we need to be able to record them on another medium eg. CD or MP3. Otherwise, you have to connect some other recording device to the output of your soundcard.