You cannot record to a MIDI in Zynaddsubfx, as it is not a sequencer, but only a "simple" synth. You can however, record to a WAV file. If you want a MIDI, you will have to hook up Zynaddsubfx to seq24 or a similar sequencer program, create a song, and save to MIDI from there. You will need to hook up Zynaddsubfx and the sequencer again, to play the song, as playback with other software may result in slightly different instruments being used, and thus a different sound than what you were hoping to record.