I have a .mtd file and I want to make it into a MIDI. I was looking at this thread: forum.cakewalk.com/Can-I-Get-mtd-midi-Files-Into-Sonar-m1626338.aspx
but I have no idea how it works.
How do I use MIDI-OX to connect to the Musicnotes Player and record it?

First thing I would do is look for a MIDI version of the song. Most MIDI files are easily available on line as free downloads. Converting it is not possible and setting up the MIDI OX trick is a little complicated if your not a super geek. 
 
Midiox will work but you'll have to read the help files first. It's free.