Purely FWIW, & not saying anything bad about Av Midi Converter...
Midi is complicated -- it's a way of communicating between hardware, & when it comes to Midi music files, a set of instructions on how to reproduce a series of sounds [you can think musical note, but besides frequency/tone etc. it also can include data on how that note is to be played]. PC hardware can generate sounds a couple of ways -- 1 is to generate tones sort of like the Moog synthesizers older rockers like myself remember, & another is based on samples of real instruments. How a Midi music file sounds depends on how good that synthesis or sampling is -- converting it is a matter of recording the results.
So while there's nothing wrong with an app like AV Midi Converter, it's not an absolute necessity either... you can instead focus on playing the Midi file(s), trying new sample tables or software/hardware etc., maybe changing the instruments used for playback around a little, all sorts of stuff, & of course since you're recording you can use whatever the player you're using provides in the way of EQ &/or FX. Some even use their PC/laptop line/speaker out to an amp & mic the speaker(s). There really are few if any limits.
A maybe fun way to get started is if you like Jazz -- there are a Lot of Jazz Midi files on line, including Many old classics, but you could do the same with anything from orchestral to Xmas tunes. See what you can come up with to get the sound *You* like, then record it -- that's it!