The SyFonOne guide is outdated, so to get better sound quality (with soundfonts) and lower audio latency (with ASIO), here's what I recommend nowadays.
1- Install ASIO4ALL (unless your sound card already has a better ASIO device+driver)
2- Install OmniMIDI
3- Run OmniMIDI and configure it to output via ASIO, like this:

Other settings I use:

4- Download a General MIDI soundfont (I recommend Live HQ Natural SoundFont GM v2.5.1) and load it into OmniMIDI with the blue plus sign on the right panel of the Lists Editor tab like this:

Optionally, also add Salamander Grand Piano C5 v3 retuned below the GM soundfont to upgrade the piano.
5- In Synthesia, set MIDI output to OmniMIDI and test it

6- If audio's silent/delayed, click the ASIO4ALL (green triangle) icon in the taskbar (near the system clock) to configure ASIO4ALL for your sound card like this then restart Synthesia if changes aren't applied immediately:
