Did you do Ctrl+A to highlight the whole track first ? you can also drag it to WAV on the drop station and drag it out then back in.
There's a great Free Drum Kit VST in previous post that you can set as the vst for the midi drum track that will give a lot better results.
http://www.pgmusic.com/forums/ubbthreads.php?ubb=showflat&Number=310649