MIDI isn’t really sound! MIDI is a bunch of commands that tell a compatible sound module or sound card which sounds it has to generate. Although this seems to be rather complicated if you consider a whole piece of music, the amount of data that’s necessary to do this is incredibly much less than in an audio recording of the same sound! The MIDI file is about 500 times smaller than a CD quality recording of the sound that the sound module generates.
If you want to play a MIDI file on a computer, you need a “wavetable enhanced” sound card on a PC, while Macs come with a solution that gets better sound from the same MIDI file: Quicktime turns the MIDI file into a Quicktime “movie” (no pictures, sorry). The sound quality is about the same as from a decent studio sound module. Drawback: You have to download the MIDI file from the Internet first (save to disk), then start Quicktime and convert the file.
“Wave” is the common name of a sound file with the extension “wav” (on the PC). The Mac format that does about the same is “aiff”. Wave files and aiff can store audio in different qualities