Hi, I am useing Cubase SE and trying to (export or save as) Midi files as wave or audio files. When I try to do this the option doesent come up. All I can save as is a Cubase file. Is this becaus Cubase SE is limited?

No, just because you mix data file (MIDI) and Audio files (AIFF, WAV etc)

MIDI is about "play this note, stop at this time, this is this time in the tune, set controler at this value etc". In short, if you want to record a MIDI file as audio you have to play it and record the result.