If you get 'codec not supported' then the program that's trying to play the midi file - which may be Windows Media Player or something else - lacks a codec, which converts the file to audible sound. You need to either install a codec for that program, or play it with another program which has one. It could be that the .mid files are being sent to the wrong player, which is a 'file association' problem.

Google your operating system (eg windows 7) the player that gave the message (eg windows media player) and 'midi codec' and see if you can find the a codec to install.

If that fails you could install VLC which can also play midi files:
https://wiki.videolan.org/Midi/