This is the website I used to download the program to convert files
from MIDI format to *.fem or Sega Grand Pianist format:
https://download.cnet.com/PC-MUSICBOX/3000-2141_4-75118769.html 

On the direct site I could not download the program using Chrome browser
although in another browser it seems to work:
https://www.asahi-net.or.jp/~HB9T-KTD/music/English/Soft/pc_musicbox.html 

Just a few hints to use it after installing it. (I used a PC running
32-bit Windows 7.) When you open the program the Music Laboratory page
might come up. Just close it. Click Link then Midi; click the MIDI file
you want to convert.

There may be a message saying "There is no master volume..." Just click
OK; the file should appear in the Song List either as the MIDI name or,
more often, named "untitled". Select file then click export, name the new
file and select location to save file. The MIDI file should now be saved
as a *.fem file.

Copy *.fem files directly to an SD disk. I have been using a 2GB disk.
Don't put the files into folders. To play the files install the SD card
into the Sega, Turn on and press Enter. The line "SD..." should appear
under the English word Menu. Press Enter. All the new *.fem files should
now be available to play in the normal way.

Phil Dayson

 [ "Grand Pianist" manual in English
 [ https://www.mmdigest.com/Attachments/21/05/23/210523_100738_Sega%20manual.pdf