There are 3 ways to get sound using MIDI:
1. Route the MIDI data through your sound card's Microsoft GS Wavetable synthesizer,
2. Route the MIDI data through an external synthesizer, like a MIDI keyboard or sound module.
3. Route the MIDI data through a software synthesizer.
You have to set each MIDI track to those outputs by clicking the Output (O) and selecting which output to use. You should also set the channel, bank and patch in the track's properties (General MIDI [GM] has no banks, so no bank can be selected).
If you're using the MS GS Wavetable synth, you will probably have to use the MME Driver Mode. Press the P button on your computer keyboard to bring up Preferences and select MME as the Driver Mode. The MS GS Wavetable synth is okay for learning with, but most folks don't think it sounds very real.
If you have a MIDI keyboard or sound module, select that as the output and MC 6 will play whatever patch (instrument sound) that you have selected on the keyboard or will play whatever patch you have selected in the MIDI track's properties.
To use a software synthesizer, go to Insert at the top and select a synth. Then set the MIDI track's output to that soft synth, set the channel, bank and patch (in most cases; some synths have to have the patch set in their windows).
For real-time use of a soft synth, you'll need a fast audio interface to hear the notes you play/click without a delay, called Latency.