MIDI file not being generated on windows. Not sure why.

[Dejas Ninethousand]

I followed the example shown here:

http://lilypond.org/doc/v2.10/Documentation/user/lilypond/Creating-MIDI-files#Creating-MIDI-files

to create:

-------------------------------
\version "2.10.33"
\score
{
\header { title = "Exercise" }
\new Staff {
\time 4/4
<< {g''4 <c''g''>4 g''4 <c''g''>4} \\ {f'8 f'8 r4 f'8 f'8 r4} >>
<< {g''4 <c''g''>4 g''4 <c''g''>4} \\ {f'8 f'8 r8 f'8 r8 f'8 r4} >>
<< {g''4 <c''g''>4 g''4 <c''g''>4} \\ {f'8 f'8 r4 f'8 f'8 r4} >>
<< {g''4 <c''g''>4 g''4 <c''g''>4} \\ {f'8 f'8 r8 f'8 r8 f'8 r4} >>
<< {g''4 <c''g''>4 g''4 <c''g''>4} \\ {f'8 f'8 r4 f'8 f'8 r4} >>
<< {g''4 <c''g''>4 g''4 <c''g''>4} \\ {f'8 f'8 r8 f'8 r8 f'8 r4} >>
<< {g''4 <c''g''>4 g''4 <c''g''>4} \\ {f'8 f'8 r4 f'8 f'8 r4} >>
<< {c''8 c''8 r8 c''8 c''8 r8 c''8 c''8} >>
}
\midi {
     \context {
       \Score
       tempoWholesPerMinute = #(ly:make-moment 72 4)
       }
     }
}
--------------------------------------------------

However when I drag the .ly file onto the lilypond shortcut in windows the correct pdf and ps are generated, but no .midi file is generated.

Did I do something wrong?

Thanks,
Matt