You may convert mp3s to WAV files with FMOD using the FSOUND_OUTPUT_NOSOUND_NONREALTIME flag set when calling the function FSOUND_SetOutput, create a DSP procedure and stream the data to disk. See the documentation for more details in it.
You should also take a look on how is structured a WAV file (expecially the header) and convert the data that FMOD feeds from 32bit floats to 16bit integer (if you use non-MMX mixers).
About MIDI, I think they just take another path (directly to MCI and DirectMusic, I think), so they cannot be handled from FMOD DSPs. On this Brett should reply.
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