Midi files are essentially lookup tables of certain sounds and a list of when to play them, while the DS does have some/use some for games (see the DS sound files reverse engineered thread in the DS rom hacking section for more on this) it would be fairly hard to get windows based midi to play back through a DS (it is in fact one of the main reasons DSDoom has no music).
Basically you will have to convert it to audio format moonshell knows.