I am still confused... If WMP plays the file, then it must be in a MIDI format... Right clicking the file and "Open with..." and choosing SONAR is the simplest method. If NO "MIDI output" is assigned in SONAR X3 and above, SONAR will also insert and route the TTS-1 synth for you.
It might help to post one of the files that crashes SONAR. What SONAR version are you using?