In addition to what Matt allready said:

save MIDI:
a) go to the "file"menu->"make a standard midi file"->press "file on disk"->give the file a name and destination->press "save".
or:
b) Press "F6"->press "file on disk"->give the file a name and destination->press "save".

Saving audiofiles:
a) go to the "audio"menu->click "render MIDI to stereo wav file etc..."->select one wave per track->click "choose"->give the files a name (prefix)->press "save"
or:
b) rightmouse click on the instrument selector->click "save MIDItrack/realtrack/realdrums as wav->give the file a name and destination->press "save".

If your cakewalk (I don't work with that so I don't know)use other extensions for audio, then the filesneed to be converted or sometimes can just be renamed(extension). So like Matt says: more details about the problem might help...

Last edited by abaudio; 03/26/09 12:35 PM.

I'll be back...