A Sound Font bank (or Sound Font-compatible bank) contains both the digital audio samples which have been captured from a sound source, and the instructions to the wavetable synthesizer on how to articulate this sound based on the musical or sonic context as expressed by MIDI (called articulation data). A Sound Font bank also contains information about the creation and intended use of the particular bank.
Josh Green has a good introduction to the Sound Font technology at http://swami.sourceforge.net/sfont_intro.php and an FAQ is at http://www.soundfont.com/faqs.html. The free technical specification for the 2.01 version of DLS SoundFont can be downloaded from http://www.soundfont.com/documents/sfspec21.pdf.
To play MIDI, you need soundfonts.
You can use hardware or virtual (software emulation) soundfonts.