This method uses no other software than comes with Windows.
The essential component is the Windows Sound Recorder which is found in the Start Menu group AllPrograms/Accessories/Entertainment or Programs/Accessories/Multimedia or Programs/Accessories/Entertainment.
You should see the wave form in the recorder's window while recording. When finished you should be able to rewind the recorder and play the piece back. You can also save the piece as a .wav file from the recorder's File/Save menu item, and this can be included on a CD .
If this doesn't work straight away: There are a lot of "should"s in the above. In fact on older systems the ability to do seems to depend on your sound card and its driver software. On newer systems (Windows XP with a modern sound card) it should be possible but you may have to set the system up to record from MIDI output (as opposed to, for example, a microphone). This is done as follows.
In the system tray at the bottom right of your screen there is a volume control.
Once this is set up, the recording procedure above "should" work.
Recording pieces longer than a minute: The windows sound recorder, for reasons of its own, seems to restrict you to a one minute recording. But this limitation can be overcome by a cunning method suggested on the MOZART mailing list (well worth joining!).
The sound recorder allows you to concatenate sound files. If you record a minute's silence and save the file as say silence1min.wav, then insert the file into itself and save as silence2min.wav and... (I went as far as doing it again to get silence3min.wav but stopped there as these files tend to be about 1.5Megabytes a minute.)
Then I opened silence2min.wav and recorded BillBailey.mz - one of the supplied MOZART examples. It lasts about 66sec.
When it finished, I stopped it, deleted everything beyond the end of the recording, and saved it as billbailey.wav (leaving my
silence2min.wav for next time I need it).
Acknowledgement: I wouldn't have thought of doing half of the above save for the questions and answers on the MOZART mailing list. I can't acknowledge anyone personally here as there have been quite a number of very useful answers over the years and I'd be afraid of missing someone out. But you know who you are - and thank you!