Given what you've said, my guess would be that the sounds are not reset at the beginning of a midi file, so it will play back using the sounds of the first file you played. I'm not entirely sure would cuase this to happen - it could be a problem with windows, with your keyboard or with the midi files you're using. I know the midi support in WMP isn't great - it feels like a bit of an afterthought on the part of the designers. You might try using different software - I personally use Sibelius or Cubase to play back midi files, but there are hundreds of free alternatives out there.