(eg.)Timidity transforms midi to wav stream in real time.
That's why it will work even if your sound card driver/configuration does't support midi.
You could try avi-xmms XMMS plugin (http://www.xmms.org/plugins_input.html
It's video plugin, but it works with wma sound in avi/asf. Maybe it would help. !!! I haven't try that !!!