Go to your "Sounds and Audio Devices" in the control panel. On the Audio tab select SB Audigy MIDI IO [8800] for MIDI music playback. This is assumming that you have the cables hooked up right.

I likely should have mentioned that I've already tried that. I've also tried the secondary port as well to no avail.

Have you set the MT-32 to receive input on channel 1, too? Press "master volume" and hold it down, then press "5" and release both buttons. Then press "1"...

One other thought. I have an Audigy, too, but my MT-32 does not work going through the external panel. I have to use a gameport-MIDI splitter to get it to work.

As Kippesoep mentioned, the MT-32 maps its "parts" 1 through 8 to MIDI channels 2 through 9 by default. This is unfortunate because most single-channel output MIDI keyboards output events on MIDI channel 1. The trick Kippesoep mentioned (which I didn't know about until just now) will change the mapping so that parts 1 through 8 map to MIDI channels 1 through 8.

I've also gotten around this by using the MIDI Yoke/Ox software to remap channel 1 events to a higher channel number.

Also, the best way to test that the MT-32 is working when connected to a computer is to get an MT-32 MIDI from somewhere like Quest Studios and play it in the simplest working Windows (or whatever your native OS is) MIDI player software is that you have installed.

The easiest way to test in Windows is to use the MIDI test in DxDiag (Start->Run->dxdiag). It will sound horrible on the MT-32 (since the test song is General MIDI) but it will produce sound on a working PC->MT-32 setup.