It's not all that hard.. since you're working with a pre-made midi file, it is best to start off using the TTS-1 synth - later on, you can experiment with other, non GM synths. You add the TTS-1 synth in the Browser window. In the Track view, set each track to go to the TTS-1 synth. Set each track to a different midi channel.
Lastly create one audio track. Set it to source fomr the TTS-1 synth. Set the tracks output to your audio device.