Newbe Midi file confusion

Hi all. Ive been trying to download and use some midi files but im having problems! Ive downloaded from several differnt sites, these downloads are stored as a temp file and played with real player the trouble is when i try to extract them from realplayer they save as an .m3u file which isnt the .midi file i was expecting and of course isnt recognised by reaper? Any ideas how i can get these files as the .midi i was expecting? Thanks in advance Matt.

when you download the files can you right-click the link and select the "Save as" (or similar) choice to save them to your system?

how to ....with midi 

BOSS, i am using reaper trail version.( and i am learning it ) i have downloaded midi keyboard and midi rythm pad from net. now the reaper and midi keyboard and rythm pad are in my desk top. (the midi keyboard and rythm pad have channels.i do not know how to use it). kindly advice me how to connect, and record these instruments......awaiting..