Is your question related to using Audacity? If not, it does not really belong on this forum.
Audacity is an audio recording and editing application, not a MIDI application. Perhaps your question would be more relevant to a forum about making games.
You can [u]record what you’re hearing[/u] while you play the MIDI file.
Once you’ve recorded the audio you can export to WAV, MP3, OGG, etc.
Or you can get a DAW to render the MIDI to audio.
however sound of file sounds exactly like it did when it was a midi music file.
A MIDI file doesn’t contain “sound” so what you hear depends on your virtual instruments.