Hi Daniela:
I'm not sure if I understood your question, but I'll try:
If you record the sound from the XP as wav into your computer, then you must remember that what you have recorded IS already audio and needs no further conversion. This means that you cannot, as you can in MIDI, change a note you dit not play correctly etc.
The recording process you describe here, is a recording of the audio-signal, and not of MIDI. When you have the audio-tracks, you can probably mix them if you recorded them into a multitrack software like Logic Audio.
My point is, that this is rapidly getting more complicated than the simple MIDI-mp3-convertor described earlier here.
Stig