Here's a few things to check: First of all, make sure you have the latest version of Holiday Lights, which is 5.0. (Choose "About Holiday Lights" from the Apple menu in Holiday Lights to discover which version you have.)

If you have an older version, that's the problem — download the latest version and it will take care of it.

If you have the latest version but it still isn't working, try assigning more memory to the Holiday Lights application so that it can convert the file to QuickTime format. You may need to add a lot of memory to the amount assigned — possibly as much as 3,000K, depending on the version of QuickTime you're using.

Finally, make sure you aren't using a disk compression program, such as AutoDoubler, that might be automatically compressing the MIDI files and making them unusable.

 
See also:
How do I assign more memory to Holiday Lights?
I don't hear any music, or it plays in bursts of notes with silence between. What's wrong?
How do I download and add more music to Holiday Lights?
Why is the Music Box empty?
Why does the music sound staticy, skip, or slow down?