Just to expand on this, a MIDI file contains no audio. MIDI files are a set of instructions for a device that can convert note values to sounds. Your soundcard probably has a built-in synthesizer that can do this, but different soundcards have different synthesizers and will the MIDI file will sound differently.
A tool like this may help you, though I've never used it personally:
EDIT: I just tried that site and it works well. One thing to note, if your song is longer than 30 seconds you need to check "full song" on one of the conversion plages.