Maybe the computer doesn't have a great SW Synthesizer. MIDIs are usually played through SW Synth, especially on RPG Maker, since that's what happened when I play those games. Try running a game using .mp3, .ogg, or .wav audio. See if it works.
And to possibly explain how your Media Player is able to play those MIDIs, it might be able to convert SW Synth into Wave, something that's always going to work. D:
This is just me theorizing...-_-; Just check all your sound settings and best of luck to you.
Try other applications that usually run MIDIs (But not something like Media Player).