it's not a totally stupid question as like you said you can play these files using a media player like quicktime or windows media.
But as you said it will usually sound like a basic piano playing the notes.
I'd advise reading up on what midi actually is, because it might help you understand. MIDI stands for... Musical Instrument Digital Interface. This is basically a way for various instruments, drum machines, sequencers etc to talk to each other and control what they play.
So a midi file contains digital information of a sequence of notes. You could use this to play the notes using any sound on a synthesiser for example.
The best way for you to hear that would be to use a program like Ableton, FL Studio, Cubase, etc. You would have to load the midi file onto a track, and drop a vst synth on there. Then if you play it, the sound will be the same notes, but with the sound of the synth.
It's a tricky one to try and explain really, but if you read up about what midi is and how it is used it should be fairly easy to understand. Hope this helps a bit!
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