If you can't get a Proteus to work, getting another synth module will not solve your problem -- they all work the same way. You need to read the manual and understand what's happening.
Why don't you describe the cabling you are using -- you say you've got it hooked up right but how do you know for sure?
In a nutshell, you need to wire the MIDI Out of the computer's MIDI Interface to the MIDI In, and you need to assign each of the various MIDI tracks in your pre-programmed files to one of the MIDI interface's 16 MIDI channels (typically you use channel 10 for the drum track) and set the Proteus to respond in multi-mode or whatever they call it, where messages assigned to individual channels address different instruments. The instrument definitions DavidK alluded to will assure that you pick the right instument sound for each channel, but I'm pretty sure it's a General MIDI synth so the generic GM assignments should work too. If all of this sounds like gibberish, you need to read somehting that will explain what MIDI is and how it works.