I had built a 61-note calliope-like instrument this year and purchased
a laptop computer with a Vista Home operating system to play it.  I am
using Cakewalk Music Creator 4 and Sonar Home Studio 6, and I found as
you did that although it would output to a MIDI interface it would not
play the MIDI files through it's audio output.  It seemed to lack the
Microsoft GS Wavetable SW Synth that had been available as an output on
pervious operating systems.

I found several ways to work around the problem that allowed me to play
MIDI files, but all were cumbersome.  I had checked the Cakewalk.com
site, but had not found a solution.  After seeing your post I went back
to check again and found the following page on the Cakewalk site:
http://cakewalk.com/Support/kb/kb2005276.asp 

After following the instructions given on that web page (found under
Cakewalk / support / Music Creator "you have not chosen any MIDI
inputs/outputs") I found that the familiar Microsoft GS Wavetable SW
Synth had reappeared a MIDI audio output option, and when selected for
a track, the track played through the computer audio output or the
built-in speakers.  I hope that this solves your problem as it did mine
for Cakewalk Music Creator 4 and Sonar Home Studio 6.

I hope everyone has a great holiday season,
Jimmy Scates