File -> Import MIDI File
Then just associate the MIDI track(s) with devices of your choice.

Not very hard.

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Latest releases:
Endless Cycles [Capital Heaven]
The Charlatan [Morphosis]

and how do u know wich tracks with wich devices?.. i mean.. how u know u are not putting a Synth melody on the Redrum?.. by example..

Er... the channels usually have names.
Besides, most MIDI files usually contain only the melody/melodies.

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Latest releases:
Endless Cycles [Capital Heaven]
The Charlatan [Morphosis]

when you have the Midi file imported, go down to the sequencer track, and to the left there is a small drop down menu - that allows you to assciate the midi to any device you have open.

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It started out with a kiss
How did it end up like this
It was only a kiss, it was only a kiss