I guess besides the provided midi files for the lessons there is no such possibility - but you find really good midi files of thousands of classical works, including of course sheherazade and other works of Rimsky-Korsakov, online. I started, some day around 12-14 years ago to download freely available scores and midi files. It takes some time, but you can use them for your studies. Some are really outstanding, and there must be musicians who put years of work in those files.
Just checked, the classical midi connection has no "Sheherazade", but you find other works of Rimsky-Korsakov by clicking HERE. And the Mozart-examples are surely to be found there. And there are so many other good websites.
Hope that helps a bit!