Hello Ken
A Midi file is not an Audio file unlike Wav, MP3 etc which are, (A common misunderstanding) it just sends out a standard set of Digital Codes that tell the keyboard etc, what notes and sounds to play,
You don’t say what keyboard you have but virtually all will play Midi files, and the sound output can be recorded on to a computer etc. (The more expensive keyboards can do the recording without a computer)
If you do not have a keyboard, then you can play the Midi file direct on the computer, which you will find has its own built in Soft Synth to play the notes and sounds. (The quality of the sound will depend on the quality of the computer sound system)
If you have a Windows OS then unless you really need MP3, you can use Media Player to convert the recording to WMA format, which can also be played on most portable players.
If you really need MP3 then see if you have any audio or CD Burning programs on your computer, as these normally come with MP3 encoders.
Portable players also come with computer software discs to do the same job, if none of these are available then do a Web Search for MP3 Encoders, and see which one takes your fancy.
Hope this helps.

Bill