copying music files

How do I change midi files over to wav files to copy to a cd for a client, so he can play it in a stereo system?

I have a client who wants to change midi files to wav files. I’m not sure if I can just change the file extension, or if I need to use a software program to do this as something else. He composes the midi files and wants to make a cd for himself. Wants to be able to use the cd in his stereo system. Is this possible?