Let me add to Sander's reply that there are many many good sound processing applications out there such as Cool Edit, Sound Forge 5.0, WaveLabs 3.0.
For midi playback, something like Cakewalk Pro audio/Sonar/Cubase will do to playback although not required.
If you already have a sound recording program that does not provide mp3 capability, you can always use AudioCatalyst to compress your wav files into mp3.
Enjoy

Claude