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1 - I ususally use fluidsynth, so I suggest you to read this small article on the internal structure of soundfonts, and I suggest you this answer on how to do it using fluidsynth (that's how I do it).
2 - since you really want to hurt yourself, the most common practice is to sample the sounds one by one and use tools like polyphone to group them in sf2 . Here it is the "complete tutorial" on how to do it. Good luck!
Are you looking for something free or do you have a specific budget in mind?
It it's free, I know that someone recorded and compiled some drumline samples here. As for horns, the FluidR3 GM Bank has some passable brass, but the reeds definitely leave something to be desired.
Yes, Zune does not have built-in MIDI synthesis. Usually, you need to convert MIDI file to a WAV file, and then make a MP3 out of this WAV.
You can check SynthFont to save MIDI file to WAV file and for example Audacity to convert it to MP3.
> does it mash them together
You can organize it in various ways. If you want to mesh the sounds, you can create a preset composed of multiple layers, where each layers refers to a different instrument (ie. articulation).
You can do both: create a separate preset per articulation, and then another one that combines them.
See here:
http://www.synthfont.com/Tutorial6.html
Assuming your MIDI is GM and your soundfont is properly organized, you will play the files with no issue.
Otherwise, if you need to use multiple soundfonts, or you want to use soundfonts that are not sorted ( very common in videogame soundfont rips ) you will need something better like SynthFont1
Generally Anvil Studio uses the standard "Microsoft Wavetable" if no other midi synthesizer is available. If you like it that much, you can download Viena and open the gm.dls in Windows\System32\drivers and then save it as an .sf2. Then you can open the sf2 in your synthesizer.
Unfortunately no one is really selling or making any gm midi banks anymore. You can get some huge original sound fonts. Some sites used to have soundcard and keyboard sound fonts but no more. As they are designed to be the part that plays the midi files they technically are legal to use. They weren't intended to be used to make music really. Here is a list of links to some http://www.synthfont.com/links_to_soundfonts.html
I have had excellent results with good soundfonts.
The really good ones are huge files, and take a long time to download (even with fiber internet), so be patient.
Check these out: http://www.synthfont.com/links_to_soundfonts.html