You'll have to run them through a soft-synth. As many people say; midi is
only instructions (for instruments and sample players).
Add a soft synth (easy way is to right click, add an audio track, and the synths should be in the FX bin) then set the MIDI track's output to the soft synth.
You might want to use Cakewalk TTS-1 if you want Gereral MIDI sounds.