MIDI Sequencing Help

So I finally cracked and decided to go MIDI.

Normally when I lay down my tracks, I go with straight audio from my workstation keyboard via Mobile-Pre. But because of the ease of editing working with MIDI, and my fickle desire to constantly change keys, patches, and tempos, I bought a USB MIDI cable.

I initially intended to use it with Adobe Audition 1.0, but of course AA doesn't have a MIDI sequencer. (A fact I didn't bother to learn until after I bought the MIDI cable.)

I own a copy of MAGIX Music Studio, so I opened it up, and tried to record a song from my workstation in to MAGIX. Unfortunately, it doesn't seem to recognize the patch information from my Roland Fantom. It only seems to have the generic, 1990s video-gamey type sound patches, not the hot, 3D-modern-crisp-and-clear sound patches that my workstation has.

Can one of AHS's hot remixers and arrangers give me a rundown on how to work with MIDI?

Programs I have:
GoldWave
Adobe Audition 1.0
MAGIX Music Studio (MIDI & Audio versions)

Equipment I have:
Roland Fantom workstation keyboard
Alesis SR-16 drum machine
M-Audio USB MobilePre (for audio)
M-Audio USB MIDI cable (in/out)
M-Audio Nova vocal mic

I am your student. Please teach me.