After the Import Wizard finishes you should be able to play your song. If you cannot hear anything, it is no use to go on with CD+G creation. Also you should see the file graph in the soundtrack panel on the left hand side of the screen.
Here are the steps that we need to make sure you are doing correct:
1. The minijack cable is inserted into ‘Line In’ socket at the one end and ‘Line Out’ or ‘Speaker’ at the other end.
2. The ‘Line In’ output should be muted — it may cause the feedback.
3. The ‘Line In’ input should be checked. Try setting the volume input to higher settings.
4. The ‘MIDI’ and ‘WAV’ outputs should be checked.
And it should work. It is very difficult to say why it does not. As I suggested earlier, please make screenshots of your Mixer (pressing Alt+PrintScreen will do that) and send the images to me, maybe there is something else we are missing.
There is also another way of converting MIDI to WAV — a software syntesizer.