OK, first you need to understand what MIDI is. MIDI is merely information...NOT AUDIO. When you sent the midi out of the Firebox, you were actually just sending MIDI information to the Firebox MIDI Output. That MIDI output would then need to be hooked up to like a synth or sound module in order to playback sounds.
Now...To get it to work in Cakewalk (I'm assuming Sonar, let me know if not), you will need to go to Insert-Soft Synth (or maybe DXI synth)- then choose something like the cakewalk TTS-1 or Virtual Sound Canvas. Then in the next box make sure that MIDI source, First Synth Audio Output, and Synth Property Page are all checked. Click OK then you should see the software synth pop up as well as two new tracks created. Stick your MIDI file into the midi track that was created and you should be good to go.
Now, lets recap how that works. What we did was insert a software synthesizer to translate the Midi DATA!!!!! into audio that we can hear. So...The MIDI track that was created is feeding the software synthesizer, and the software synthesizer is feeding the audio outs on your Firebox. Hope that helps. BTW, you would probably be better off putting something like this in the MIDI forum, or in the Cakewalk forum, I guess this is your lucky day though, LOL.