Thyme has the right idea, use a sound recording program.
The reason to make MP3 out of MIDIs is so that you can play it on other systems without the music sounding different due to different sound cards. For example, on my dekstop, MIDIs sound very good, and on my laptop, they sound horrible. However, I'd rather get a MIDI version than a MP3 since its much much smaller, and I have a good sound card.
For MP3 encoding check out
r3mix.net