If you just want to play around with the instruments...start a midi file, then stop it. Use the mixer button as squeak-d said. Then... use your registration buttons (bank to select a bank, from 1 thru 8...using the 'yes/no' buttons to advance). So, you have 8 banks of '4' memory slots...for a total of 32 memory slots that you can use.
Now, to save your mixer settings (for the midi you are playing with)...press and hold the 'store' button, and one of the numbered slots (1 thru 4). You have now set the instrument selection for the 16 midi channels.
When you start the midi file...press the registration you stored to (one of the 32 choices). The tones you selected should now replace the originals