You could use some free/shareware wave editor instead of the windows recorder. You just set it recording and play the midi with media player or whatever you normally use to play them.
You also need to set the windows mixer to take input signal from midi instead of microphone. This is propably the reason you were getting only static. You can access the mixer settings by double clicking on the little speaker tray icon near the windows clock. From the mixer window that opens up you need to choose Options->Properties-->Recording. Then you can choose the channel which is used as rec input.
(Not so good explanation but I hope you can make sense of it
Btw, I'm using Win2000 so your system may be different...)
Do a search for CoolEdit 2000. It's a good shareware wave editor. The save feature only functions for 30 days then you need to register it.
The midi songs will sound a lot better if you have a soundcard which is capable of playing SoundFonts (like SBLive!). The default soundfont which comes with windows isn't the greatest. I for example purchased a better one called Utopia Live. It is cheap but the quality is very good. You can find it here: http://www.utopialive.com/
Hope you can get it working...