If they are MIDI files, can't you make a playlist of MIDI files in Windows Media Player and set it up to default to the MIDI out port instead of to the internal sounds?
A long time ago, I had a little battery powered Yamaha disk player the would stream MIDI data. I actually still have it but it uses an old format of floppy disks. I can find blank ones but don't have a computer that will write to them anymore.

I was going to use it on the Kawai digital piano in my living room for classical tracks, but trying to transfer the data to these old disks was not worth it. I could buy a newer sequence but that costs more than a laptop, so that is pointless.