Well, the original poster never asked for lossless compression and if he wants to convert MIDI files to MP3 files, I doubt that this is of any interest. I assume he wants put that stuff on a portable player.

Furthermore, the above mentioned lossless format can only be used on Windos. The proper lossless audio format is FLAC:

http://flac.sourceforge.net/

It's open source, free and usable on pretty much any known platform. It's also been adopted by the OGG project as lossless audio format. There are even a few hardware players that support it.

However, you only save about 50% by any of the known lossless audio formats. Uncompressed PCM audio (like in WAV files but also on CDs and DVDs) has been around for decades and it's unlikely that it'll ever become unusable as it's so simple and well-known. Lossless audio compression is only really useful if you cannot afford the additional diskspace or for remote transfers to save half the time. I wouldn't use it to
archive music in full quality - even though FLAC is open source and free.