Are you using Cubase?

I assume you got the midi file off the net? Remember midi files are just information and it will probably have initial presets stored on it, so when it starts back at the beginning of the midi part it will go back to the original preset.

Try creating a new midi track and part (blank Part) Now go into the original midi file and select all the notes and then select copy, then paste them into your blank midi part.

advocate is right,

Another possibility:

You could also open the midi track you're tweaking with the "List Editor" and remove the Program Change Controller from the list, this wilt stop the recall of the preset you are using.
Also possible in the standard Key Editor, select "program change" in the contoller (bottom) lane , and select all entries & delete.

Hope it works out.

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Thanks For All The Replys Guys ... Im good to go with a new moog soft synth !!! THANK YOU !!!

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Whiteside - Lexicon [Coming Soon]