It doesn't have to be an external box, most soundblaster cards have it built in. Basically, if you can click on a midi file and hear it, then you have the capability, then it just becomes a matter of configuring the editing/sequencing software.

Click the following:

Start Menu > Control Panel > Sounds and Audio > Audio (there will be three tabs, Sound Playback, Sound Recording, Midi Playback)

What does it say under Midi Playback?