Make sure you have the right MIDI settings in reason. Go to Edit->Preferences, and flip to the MIDI page in the preferences window. Check that everything's ok in there.
You will also need to assign the MIDI input to a synth in your sequencer. Once you have a synth or sampler set up in your rack, go to the sequencer part, and click on the far left of the track name so a little MIDI icon appears next to it. Things should start working now.
As for converting to mp3, no other program can do that, since the .rns file requires Reason's sound engine. With your .rns file open in Reason, go to File->Export To Audio File... and save it as a wave. Then open it into your favourite mp3 converter.
Hope that helps 
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