To play MIDI files you need to have a MIDI out device available on your system.
On Windows XP, they were two MIDI out devices: - MIDIMapper (a special MIDI out device bundled with XP), installed as MIDI out device #0, and - Microsoft GS Wavetable Synth (MGWS), a (low quality) software wave synth, installed as MIDI out device #1.
Users were able to configure their preferred MIDI out device, and this setting was used by MIDIMapper.
On Windows Vista / 7, it was the same as above, but MIDIMapper configuration disappeared from control panel (registry settings were still available, so some third party tools were released as workaround).
On Windows 8, the MIDIMapper device (#0) has been completely removed so MIDI softwares are now required to select a specific device (no selection still means #0). I wrote "required" because, worst of all, MGWS is now installed with some sort of "dynamic" ID: #0 out of the box, but it becomes #1 if you install another one (like a MIDI software or an USB MIDI device). I suppose device numbering is done alphabetically, but I can't confirm it.
The only way to select a specific device is use a MIDI software with a configuration option to select a device, for example VirtualMidiSynth (I am not endorsed in any way with this editor).