There's a program called SynthFont that looks sort of like a DAW, although it's just a MIDI sequencer and sample player. It can play soundfonts and other types of sample formats. So basically you can load (open) a MIDI file in it, select an output for each track (channel)-- such as your keyboard, or a virtual instrument, or a soundfont, etc.-- select the voice (bank and program) you want to use, adjust things like reverb, chorus, attack/release, cutoff/resonance, etc., and play it back. You can also save your settings for that particular MIDI file as a project file.
There's also VirtualMIDISynth from CoolSoft, which lets you select the soundfont you want to use and play MIDI files. It's more of a basic MIDI player, so you don't need to go through as much setup as with SynthFont, although SynthFont is much more flexible and powerful.