Software

Any decent video editor will have the option to add your audio file as a sound track to an existing video.

But I wouldn't say that adding sound to a video is the same as converting the sound to a video. So please tell more about your ideas for that.

How about making it a podcast?

In addition to what the other guy said about video editors you can try online converters.

Go to google and type in something like "convert mp3 to mp4 online", upload your music file, click convert and receive a video file.