A "midi" (pronounced "mid-eee") is a computer generated sound file. It won't necessarily sound like real instruments, unless you have a really good sound card, speakers, and most recent "codec" for your midi player.
To play a midi you will have to have a "midi-player", that is, any audio playback program that supports the midi format (.mid or .midi). Some popular players include Winamp, Real Player, or Windows Media Player. For the Mac you can use Quick Time, and I believe Real makes a player for Linux.
To download any of these midi files, right-click on the file name and choose "Save As" or "Save Target As" (depending on your browser and OS). To listen to a file, "left-click" on the file name and your default player should load and play the song. It takes a second for the song to actually start. I take no credit for any of these files, they are found all over the web.
Please note: I'm not sure of the real names of some of these songs. If you know, please let me know, and I'll make sure everyone knows!