Jeez, I go offline for a few days, and all hell breaks loose...
Key point: you still have to wire up the audio, as if you were playing all the instruments at the same time by hand. MIDI does not re-route the audio in any way, it still comes out of the same sockets on the back, as before. With a few devices, that usually means getting a mixer, unless you can wear two pairs of headphones at once?
The routing of MIDI is something the MPC1000 can help you with, once you find your feet: have a look at
http://stereoroid.com/sounds/mpc1000/faq.php#pads06 for example...