Midi files can be created in various ways.

a) By a piece of software called a sequencer (Cakewalk, Cubase or many others) in which you define the music note by note

b) By playing a MIDI instrument connected to your PC, into a sequencer or other midi-aware program.

c) By software which converts from other musical notations such as abc
(My program HARMONY does this)

(of course, the opposite conversion, MIDI to WAV or CD, is easy)