Cakewalk will do that. Power trax pro will do that. Even the simple explorer window from microsoft will do that if you install the Van Basco midi player.
I advise you to try the Roland VSS88 first - it's cheap, and works great. I have it on my laptop, and the sound is very good. the synth has an edge in the drums, but it's still pretty good.
I use the explorer window to pick songs - while one is playing.....just use the arrow keys or curser to pick the next one - when the song is over.. hit "enter" and the new one starts. Couldn't be easier. I have a view of 80-100 on screen at once. Just hit an alphabet key, and you go right to that letter. Fast search!