Well it makes sense that the midi file would be smaller, since midis just carry notes and tempo information, not actual digital sound. But it's impossible for a song in wav format to be smaller than an mp3 of the same song, unless it's corrupted. About your last question, the only advantage wavs have over mp3s is that mp3s have to be decoded with a player like Winamp, which takes more resources away from your system than wav playback would. As long as you have a decent system, though, MP3's are always better for music.
About this mp3 you downloaded...did it finish downloading? How'd it play?