What does happen when you double click on a midi file?
You could check the file association.
Midi files normally play in your media player, WMP, RealPlayer,etc.
Check in Folder Options > file types to see if 'Midi sequence' is listed and which programme is associated with the file.
Or, open WMP go to Tools > Options > File types and see if Midi is checked, if you want WMP to play these files.