Zamzar has an on-line converter...
also try
https://www.maniactools.com/soft/midi_converter/
also Free AV Soft AV MIDI Converter.
Also Audacity can do this too..using the LAME encoder.
MIDI is short for Musical Instrument Digital Interface.
MIDI is a protocol...and not sounds. It defines how electronic musical instruments, computers and other related devices can communicate with each other.
MIDI does NOT transmit an actual audio signal.
Each MIDI event carries instructions on
Key ON and OFF: when the key is pressed/released
Pitches or notes played
Velocity: how fast and hard the key is pressed
Aftertouch: how hard the key is held down
Tempo (or BPM)
Panning
Modulations
Volume
MIDI also carries MIDI clock data between 2 or more instruments. This allows for perfect synchronization between your whole setup.
So as hasithayad mentioned above the the correct way is via a DAW.
But the software solutions I suggested should work ok..