Sorry for adding to such an old thread, but i was searchin for about 1h how to get sound to the MIDI files
All that info here didn't helped me at 1st.
The information is missing where you find the SoundFont installation, it is :
Edit Preferences (Ctrl-O) -> Player -> section: Input Plugins -> Set SoundFont
I had some Soundfonds of my old SoundBlaster Life and they work great ( like 8GMGSMT.SF2 )