@Armok:
In MIDI files actually a great deal of the sound is dependent on the computer/keyboard/"device" playing them. Notice how small the files are? That's because they don't actually contain any sound information - all they have is instructions that say "play instrument 24 now for 2 beats" and the like. MIDI files are actually a replacement for sheet music, not a replacement for recorded albums.
So if a different "instrument" would make something sound better without re-composing the song, you have to do that part yourself, as the person with the device "performing" the "sheet music".
It sounds like you're using Windows, which I know nothing about, but there should be a way to load a new soundfont (a bunch of sampled instruments) into the memory of your sound card. That'll change the way any MIDI file you play sounds.
Another way (in case your sound card doesn't have a wavetable synthesizer built in) is to use something like Timidity to make a fake wavetable synthesis device (Linux only - I assume there's something similar for Windows, but no idea what or how). Then you can remap instruments to different samples using that.
@Manifold1:
If you want to get around the "every computer playing my MIDI file will make it sound different" problem (if it is a problem - all in the eye of the beholder), you should look into MOD files. They were invented back in the day on the Amiga to get around exactly this problem. They're basically MIDI files but they have the instrument samples embedded in them and process them as audio instead of as MIDI instructions, so they do all the synthesis in software ensuring it sounds the same everywhere.
The original MOD format only supported 4 channels (you could have more instruments of course, but only 4 samples could play simultaneously), but modern updates to the format (IT, XM, etc.) support 256 simultaneous channels or higher (the limit is set by your sound card's capabilities if you go TOO high
).