claudio ... do a 'google' search on what ever band you want midi files for ... such as "coldplay midi files" (without the quote marks) ...
some times what comes up on these sites is just another link that you have to click on to get to the actual midi file ... otherwise you should just have to 'right click' and 'Save as' ...

Unfortunately, many sites have had to remove the actual midi file, while the 'link remains ...
t.