The midi options dialog from the music options menu is where you define most MID-related stuff.
Perhaps the most important setting for playback is the sound-setting where you set the MIDI-destination to be used. Whenever a sound card is installed you will encounter several sound destinations:
MIDI-out / MIDI-port: if you want to drive an external synthesizer
Wave-table synthesizer / Software synthesizer: your most likely sound source
MIDI-mapper: a useful default that will 'map' more than one sound destination as one device.