MIDI shines as it allows each instrument to have it's own independent audio stream. This way with editing programs, it is easy for a music developer to turn off a paticular instrument and hear the other parts of a song.
Because of that, it is easy to convert MIDI to other audio formats like MP3, but going the other way is significantly harder to do (and none has developed a reliable method of doing that).
Here's some possible programs you can try. Your Milage May Vary.