I found what I needed here: https://help.cakewalk.com/hc/en-us/articles/360021858073-Listen-to-a-MIDI-file-downloaded-from-the-internet-
Also, I asked because the files are located in Toontrack\EZDrummer\Midi\ and the subdirectories do not all contain midi files, therefore I didn't understand how to proceed. Now is OK!