Don't be fooled by programs purported to be converters, it's not possible they are two completely different concepts.
A MIDI file is a sequence of commands to control one or more pieces of equipment (synthesizers most of the time). These commands are not sounds, they are recorded operations to do something (mostly to generate sound).
A WAV or MP3 file is sound. It is the recording of a sound wave. It is the mix of all the given things (instruments, voices, etc) you could have heard at the moment of recording. A lot of info (in fact most of it), that you need for a MIDI file, is lost. Like a cake. When the cake ready, all data about the baking process is gone.