As Alex B alluded to, a MIDI (Musical Instrument Digital Interface) file, is merely a list of "events". From what I remember, MIDI is capable of sending on 16 channels. A device (drum machine, etc.) is set to receive on a specific channel.
Originally designed to control synthesizers, drum machines, and synth sound modules, it is a list of events, sent on a specific channel, which cause that device to perform the specified instructions. ie. Switch on note Middle-C, wait for the duration, switch off note Middle-C.
MIDI can contain a lot more information than that, of course. Have a search on Google for more details.
What this means is that the MIDI file contains NO SOUND DATA (unlike an MP3 etc.). The MIDI file does make any noise on its own. When you listen to a MIDI file on your, PC, the information contained within the MIDI file is sent to a "software synthesizer" which is part of your sound card/software.
To "convert" a MIDI file to an MP3, I expect that you would need to use some sequencing software (Cakewalk etc.), or audio software (Adobe Audition). I think that these might do the job. However, they are not "converting" the MIDI to MP3. They are playing the MP3, the sound card generates the audio (NOT playing back sampled audio, as in an MP3), and records it into an audio file, which you can then play back as per normal. Depending on your sound cards capabilities etc. the MIDI file could end up sounding quite different from PC to PC, even though the tune (the sequence of notes) remains the same.
I would not expect any version of Media Center to be able to perform this function.
Hopefully, this clarifies things a little. If not, that's a shame...