I didn't know where to put this so I put it here :D A simple 1K resistor in series with a 33uf capacitor turns PWM into a pure wave! Just wanted to tell everyone how easy it is.
Sorry but it is a bit more complicated than this. Using a simple RC filter is only a simple roll off filter and doesn't result in a "pure" wave. For a discussion of this see:- http://www.thebox.myzen.co.uk/Tutorial/PWM.html