K, first of all. The midi layout is the simplest and best workflow I have seen for playing midi live. It's quick and also powerful in case you'd like to change key or shorten your song while at a gig. That is the reason he is using a dinosaur version of the software. I know this for a fact as I am doing the same thing live. I've tried multiple versions of cakewalk, sonar and cubase, none are as simple and efficient to use live.
I'm using xp sp3 as well. The problem you are having is typical. Basically, you need to close the program and go back to the folder and double click the midi to have Cakewalk open it up, I don't know why it's not working for you.. it's kind of a hassle but it's easier than using the dropdown menu in the program. That being said, I'm probably going to switch all my midi to audio and that way I'll be ready if my old laptop decides to stop working.
I'm running CWPA9 in windows 10, it just gives you "failed to update system registry"warning every time you open the program.
Have you tried using the Virtual jukebox that's included in 9? You can make a master list or setlist up and they will open easily without having to reopen the program. It works great for planning a setlist or just having your most played songs readily available. It might be a workaround for your problem.
