To download MIDI's, you just need a computer and Internet connection, but you knew that. To listen, you need either an internal synthesizer, which most computers sold today include, or to connect an external synthesizer.

To check whether you have an internal synth, open your Control Panel. Double-click on Sounds and Audio Devices and select the Audio tab. If there is something shown under MIDI music playback (near the bottom), then you should be able to listen. Click the Volume... button to make sure it's not muted or turned down too low to hear. Then download a MIDI file and double-click. It should play.

To connect an external device, you'll need instruction from somebody else. Sorry, I've got no current experience with that.

Hope this helps.