Which Keyboard do you have? You will need one that has a Floppy Disk drive or some other source for playing midi files through the Keyboard. The PSR 2000 is ideal for playing midi files while the keyboardist plays along,(melody, chords, Style/Multipad Accompaniment etc.) Some Keyboards do this better than others as you might expect. The Tyros has support for GM2 "General Midi 2" specification which enhances upon the GM1 specification even more, ie., (greater capability in sound creation and reproduction) plus the Tyros is also ideal for what you are considering, ie., playing along with the Midi songs. Some other brand Keyboards incorporate GM2 also.

I think Midi has been 'underrated' by many people and I think in the years to come Midi will have an even greater impact on the music world imo.

And yes, you are limited in Midi capability by the Keyboards sound engine. The output will only be as good as the sounds and the processing capability of the Keyboard.