There's also some third party software that can make the change -- the option still exists in Windows, there's just no built in menu option that toggles it. I use a software synth for general midi (very useful for games that, while still old, are more from the SC-55's day than the MT-32's) that has a pull down menu that lets you choose which midi device you want both as the global setting and for the Windows Media Player default, which lists all of the ones you have installed, not just itself and the Windows synth. It's called Coolsoft Virtual Midi Synth, and it's a free download.
Edit: After writing that, it's kind of surprising that Munt hasn't added such a menu yet. There hasn't been a way of doing it without third party software and/or manual registry edits since, what, the launch of Vista?