There is no such thing as a MIDI sound. MIDI is just a bunch of digital signals that can do many things, including triggering sounds in synths, samplers, and so on.
Are you hooking the Oxygen thing up to your soundcard's MIDI port? If so, you can use it to trigger VST and DX instruments (which require a MIDI trigger), which are easy to come by and a lot are free (my favorite is called the Cheese Machine, do a search it's easy to find). n-Track has support for both VSTi and DXi, but I don't know how well. You can do this with fruity loops too (and also trigger native fruity sounds/etc).
You can also use soundfonts if you have a soundfont-capable program and/or soundcard. There are tons of free soundfonts out there, and lots of programs can use them (n-Track can't). Soundfonts are similar in use to the built in MIDI-triggered synth that comes with most soundcards, except that they are typically made of real samples, and can be very large and complex sounding. Here's a standalone soundfont player
http://www.soundfont.com/products/sfplayer.asp and there's also a soundfont add-on for fruity loops. If you have an SB Live you can load up soundfonts with the card's software and play them without much extra work.
You should post this question to the computer forum for better help....I only know the basics of this stuff!
Slackmaster 2000