This is a very simple problem with a simple solution. Windows Media Player has a major flaw, you see. Whenever you play a midi in WMP, it turns the software synth volume all the way down when you're done. What you have to do is click on the little speaker on the bottom right of your screen, or open up the volume controls via some other method, and simply raise the software synth volume bar.
You will probabl have to do this every time you play a midi in Windows Media Player.