well I have never used Midi but I know what they are. I use GDT4 (Guitar and drum Trainer version 4) It can remove vocals but not individual instruments, or at least I have not been able too. I think it depends on how the song is recorded, the more tracks per instrument or vocal the more you can remove or manipulate each recorded track. GDT4 can speed up and slow down songs so you can pick out the notes for playing and change the speed and pitch. It does not support Midi however. This is the computer age, I am sure for the right price software you can manipulate any song anyway you want.

As far as your MP3 player, I think that site sells CD's which you would then rip to your Mp3, any mp3 file you can get onto you Harddrive should be able to be put on you MP3 player.