The default MIDI device can be set in Control Panel/Sounds and Audio Devices
. If your soft-synth is registered as a MIDI device, you should be able to see it in the dropdown.
AFAIK most modern MIDI software now does its own MIDI routing from one device to another. Windows XP is limited in the number of MIDI devices it can support, and the MIDI software industry is gradually moving towards an all-USB model now.
In the USB model, many hardware controllers (such as this one) are "class-compliant", so you don't even need a special software driver to make them work.
For technical programming documentation about MIDI in Windows, this might be a good starting point.