Technically speaking, midi files are not music files. Midi is the artificial creation of musical instrument-like sound by a synthesizer. The midi file is simply a standardized data format for streaming instructions (events) to the synthesizer telling it what sort of sound the create (patch), what note (pitch), how loud (velocity), and when to start/stop (duration). Some synths may also have additional features. The sound qualities of the music that results from all this is related entirely to the synth. You could play the same midi file on two different synths and they would not sound alike.
As for your original question of ''converting'' a midi file to some other music file format, you can achieve such an apparent result, but it would not be a conversion. In essence, you play the midi file through the midi synth of your computer's sound chip, but direct the output to a sound editing software package where you simply record it in real-time to a .wav file (or if you sound editor has such a feature, directly encoded to .mp3 or whatever). Now you have a ''music'' file. Do what you want with it.