Does this mean I'm right in assuming I need a new sound card?

If you want to get decent MIDI playback, then you can get a soundcard that supports sound fonts, or you can get an external MIDI sound module (tone generator) or you can delve into the world of Digital Audio Workstations (DAW) and use virtual instruments. There are plenty of options.

Does Windows media player play GM2?

The Windows Media Player plays MIDI files as they are, so it is the receiving device that has to support what you want.

With the MS software synthesizer that you appear to be using, I have found that one has to send a GS reset sysex message to put it into GS mode and then it will accept bank selections, otherwise it defaults to GM, which does not have any banks.

Cheers
Eddie

I just found out something very interesting. When I play the .mid files in Windows Media Player, even though I have GM2 instruments in the song, Windows Media Player doesn't play them either.:( Anvil doesn't either, as I've said before. Could someone try this out so they can see what I'm talking about? Thank you for all of your help and responses!:)
Chris

When I play the .mid files in Windows Media Player

The MIDI player (if it is written properly) should not matter. The player should pass all MIDI information to the MIDI device. It is up to the MIDI device to interpret the MIDI messages that it supports and ignore the rest.

even though I have GM2 instruments in the song

Does your MIDI device support GM2? If not, then it will ignore any GM2 MIDI messages.
If it does, then be sure to first send the "GM2 On" message, as documented in the GM2 spec available on this site.

Cheers
Eddie

Ok, I will try that! Thank you all so much for your support of MIDI and my journey to discover it's frontier!

Good luck to y'all

Chris Seddio