Thank you RD James.
I've got that far.
Just unsure about the windows default bit
Many people using Media Center have multiple sound devices connected to their computer.
Whatever sound device regular applications play audio to (e.g. your web browser watching YouTube) is the one that MIDI plays from.
That may not be the device that Media Center is configured to play music from, if you use multiple audio devices.
If you have the latest version of Windows 10 (the 1803 update) it is possible to set the default device per-application, which will specify the device that Media Center plays MIDI to (note how this is different from my default device).