How to export as a WAV file

I am running Windows 10 Pro 64-bit with Audacity 2.3.2.

I imported a .mid file and played it - sounds great! I now want to export it as a .wav file. I click on File → Export, but the only option not greyed out is MIDI! Export As WAV or anything else in the list is greyed out. Am I missing a step?

Audacity isn’t really a MIDI application and it has [u]very limited MIDI capabilities[/u].

However, you can [u]record the sound coming out of your soundcard[/u] as you play the MIDI file.