You don't have to mess around with a movie file; iTunes (at least version 2.04) will convert a midi directly to mp3 from that Advanced menu item. Just click on Convert to MP3 and then navigate to a midi file of your choice.

One more thing to try, if you have QT Pro, is to open the midi file in QT Pro and export as an AIFF, then do the conversion in iTunes. By the way, what version of iTunes is it that will not convert midi to mp3? It does work in version 2.04 on my eMac.

You perhaps should invest in QT Pro, if only because if it can import a midi file it will be able to export it as a standard (cross-platform) midi file which iTunes can then convert to a mp3 file. Also, though it will save it as a movie file rather than a cross-platform mp3 file, QT Pro can edit parts out of a mp3 file. In this case the file is still encoded in mp3 format even though QT Pro puts it in a .mov wrapper. To play on other platforms such files may have to be re-encoded by iTunes as a mp3 file instead of a .mov file.