Problem partially solved (more on that later): On the toolbar, I went to "Tools", then "Options...". When I looked at the "Content" section, I saw an option that tells Firefox how to handle files. The extensions MID, MP3, and WAV were nowhere to be seen (but oddly enough, WMA was there). I just downloaded some sample files and set the default to play with Windows Media Player.
HOWEVER, it's still not completely fixed. When I download one of those 3 files, instead of streaming the file (as it does with WMA, WMV, or some other format like that), it downloads the file completely, THEN it streams the file. When I looked at the file type handler, it said that those 3 formats "Open with Windows Media Player", but WMA said "Open with Windows Media Pleyer Plug-in Dynamic Link Library" (which I understand to be abbreviated as "DLL"), which Firefox, not surprisingly, says that WMA opens with a plug-in, not an application. However, I can't get those 3 formats to open with plug-ins, just applications. Is there a way to tell Firefox to use the plug-in on those formats also, or is there another way to fix this?