MIDI to WAV or MP3? - now that's a toughie, with most solutions relying on loopback recording.
Timidity++ is one way to directly render a MIDI - old versions used GUS sound libraries, but newer versions can use SF2 soundfonts.
The best pack for novice users, was Tim Brechbill's easy setup, with a preconfigured 6Mb soundfont, but other good SF2 soundfonts can be used
Appears to point to the last remaining example of Tim's marvellously easy repack
Some other versions, and a prepared CFG file pack to get the best out og many popular soundfont packages.
The official sourceforge page
Synthfont is another tool on similar lines - also freeware (donations welcome)