A MIDI file is a set of perforamce information -- what notes were played and when, how hard they were struck, etc., grouped into as many as sixteen sets called MIDI channels to keep separate parts distinct, that is interpreted by a MIDI-compatible sound module (a synhtesizer, a sampler, a drum machine). There is no actual audio data in a MIDI file, so unless you have something to respond to the information that's contained in a MIDI file, you will be unable to hear anything.
It's very similar to those old player pianos if you've ever seen them. The rolls have no sounds recorded on it, just little bumps that trigger actuators in a player piano to hit the appropriate notes at the appropriate times. Without the player piano to play it, there's nothing there to be heard. Or another analogy, it's a little like the conductor in an orchestra, If there's no musicians sitting in front of him to follow his directions, he can wave his arms all he wants and still no music will fill the air.
What soundcard do you have? Most consumer soundcards have a rudimentary MIDI synth and a MIDI interface, which is a port through which the computer can receive MIDI messages sent by a keyboard being played, for instance, and send MIDI messages that it has already recorded out to a device like the same keyboard that will respond to the messages. There are also software synths that run as applications on a computer and act just like an external box.