Ok pal... get your notepen and paper out cos this might get a bit complicated:

STEP ONE- Right click on the midi file.

STEP TWO- Select "save as"

STEP THREE- Select the destination where you want to save your midi file.

STEP FOUR- (the technical bit!) click "ok".

You might need to call a technician in for a couple of these steps, but I'm sure if you persevere you'll get there in the end.

-Equalizer

PS- I think there's book you can buy on the subject called "How to save midi files using Windows XP". It's written by Rolf Stoogenberg and is available in all good book stores for only 9.99.