I'm sure that you understand that MIDI on its own cannot be heard. To hear the MIDI file you need to have your MIDI player routed to the input of your Piano or routed to a PC audio synth. There several options you can can take.
1, Route the PC's MIDI output to your piano and then route the audio output of your piano to a recording device (either external hardware or internal software.
2, Download the MIDI file to your PC and then open it up within a MIDI compatible software package which has the ability to render the audio via either VST's or DXi's (or both). This does mean that you will not actually use the audio from yur piano but and software version of a similar sound.
I hope this helps you out a little and if you need any further help just ask or email me.

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Have fun in life.
benney