A midi file is like a player-piano roll. It has to be played by
something to make music - and the sound will differ according to the
device that plays it. So you have to record the output to make an audio
file and then save that to wav, mp3 or whatever...
You can convert midi to wav format with the below free download (1.6mb),
but you must realize that wav files are huge unless compressed. MP3 music
files are in compressed format, it's up to you:
MIDI to wav - How to Convert Midi to Wav, Midi to MP3 Converter http://www.allformp3.com/convert-midi-to-wav.htm