Maybe we are getting somewhere. I just purchased 2011 and installed it from the disc so everything should be up to date. The manual says under "Output to software synthesizers (DXi and VSTi)" that "You can also directly render your performance to a .wave file using the plug in."

When I go to Opt, Midi/Audio Driver Setup I see that "use VST/DXi synth" box is checked, "route midi through midi driver" box is checked, and the VST/DXI Synth setting/Audio track has "none" in all the lines. I think the "none" is the problem.