The previous poster is correct, but to elaborate: most music (mp3,ogg,wma,flac) is encoded (and compressed, lossless or lossy) via a particular audio codec, then the codec is used to decode the music into waveform data. A wav file is essentially this raw form (hence the large size). MIDI operates in a somewhat different manner, so converting to waveform data is not as easy, and is not the natural step to play a midi. Sound cards have MIDI devices which are used to synthesize the information stored within the midi, it is possible but usually not the best solution to convert from this midi data into the waveform data which is found in most music formats.

For my current project I'm using SDL_Mixer and OpenAL for that very reason.

SDL_Mixer handles the midi stuff and I let OpenAL do the 3D sound stuff..

hth,