I had similar problems to Nigel Perry when I moved to Vista earlier
this year.  (For me it is the most frustrating operating system --
ever!)  The only solution I have come up with is to purchase Sweet MIDI
Player from http://www.ronimusic.com/  It costs about 21 GBPounds,
but there is a free trial download available, with some restrictions.
You can't compose with it (continue to use Cakewalk), but you can
play MIDI files, modify tempo, transpose, change instruments, create
playlists, and it just plays through the normal PC sound system, using
Windows MIDI Mapper, which Cakewalk seems not to find.

If you use a hardware MIDI output device (I use the Yamaha USB/MIDI
UX16), that will usually show up on Cakewalk so you can play to an
external instrument (MIDI Organ, electronic keyboard, etc.).  It is
only when you want to play through the PC audio device itself the
problems occur.  It is as if Microsoft omitted some critical element
in the process (but, of course, won't admit it).

John Farmer, UK
http://www.musicanic.com/