The easiest way is probably to use an online converter. SolMiRe and Conversion Tool, among other web sites, allow you to upload a MIDI file and receive a converted MP3 file that you can then put on your device.
To upload the files to a converter, you first need to get the file from this web site to your computer. For a Macintosh computer, option-click the music file name. For a PC, right-click the file name and choose to save the file to your computer.
After you have the file on your computer, upload it to the file converter and download the resulting MP3 file.
Please do not add any MIDI files to public databases. I cannot enforce this, but anticipate that there might potentially be copyright issues, so strongly prefer that these files do not become publicly available.
After you have the MP3 on your computer, you can burn it to a CD using iTunes or other software. I am not sure of the procedure to put it on devices such as iPhones; ask someone else.