I am not quite sure what you want to do?

Anyway based on your post as I read it;
I did not know the UF-8 midi controller, so I looked on their website.
Found out that it is just a midi controller with advanced options but with NO SOUND board.
This means that the only sound you will hear at your current configuration are the sounds of the Soundblaster Audigy, that is IF the audigy can receive midi-in messages?
I don't have one so cannot confirm that.

As far as I know the audigy is general midi 1, banks 1 - 128

To get decent sounds you might consider hardware sound modules or software sound modules.
I am not sure though if the latest software modules would work with cakewalk 6.x as this is very outdated and might have a problem with the usb connection for sysx messages.

You need to learn the basics of midi first to understand.
(I think midifarm.com still exists so you might cheque this site for the basics)

You say play midifiles? I did not see on their website that the UF-8 can load midifiles?
windows xp can load midifiles and will play them through your audigy which has nothing to do with the UF-8.

The only thing the UF-8 needs to do is sending data -info from what you are playing -> to your soundsource, which is now the audigy.
So that means if you hit a key , you should normally hear a sound in your current setup from the audigy allthough as I mentionned before I am not sure if that is possible thru the audigy as I don't have one.
The earlier soundblasters came with software which made it possible to do this.
(I forgot the name but some of the members might know that.)

Anyway let us know what exactly you want to do!

Fred