Well, I found out in "options" that I'm supposed to...like change all the devices and stuff, and I even went into the Control Pannel of the Start menu to re-configure my Multimedia and Midi, but it still doesn't work.
Play around with Tools/Options/Midi - if midimapper shows in the devices used by playback, try removing it to the available devices window. Actually move everything back into that window, then add them one at a time until you get the combination that works with your system.
I have Microsoft GS Wavetable ... plus SB Live MidiUart plus B: SBLive midi synth and A: SBLive midi synth
A couple of these obviously come with my soundcard, and I have no idea which of these make the sounds work correctly but they do.
Midimapper usually creates problems for some reason. I believe it is not part of Windows after Win98.
Also if you're running Mediaplayer, check the sound settings and if enable digital sound is off, try turning it on.