I'm assuming he means "Cakewalk Soundcenter" which is a softsynth.
did you load an instrument into the Soundcenter? you have to load something by double clicking on an instrument, there's no default loaded.
are you using MIDI tracks you recorded in MC or are you using MIDI tracks you downloaded from the internet? if downloaded, there are probably PATCH data in the MIDI data of the track which you'll need to delete
did you insert an INSTRUMENT track or MIDI and SOURCE tracks? make sure you have the output CHANNEL, BANK and PATCH information set correctly for the Soundcenter. if you used an INSTRUMENT track that info needs to be set on the properties of that track, if you used MIDI/SOURCE tracks, then set it on the MIDI track.