Version 1.6.1
First to mention, TuxGuitar is written in Java programming language. There is dedicated layer in Java for MIDI sound, which uses "soundbanks". In TuxGuitar prior to version 1.0, using the soundbanks was the only way to play the sound, and it was totally independent of your system MIDI settings.
Since the version 1.0 there are some plugins that enable connection between TuxGuitar and the system MIDI devices. You need the plugin depending on your operating system and audio properties. These plugins are included in your distribution package, so there is no need to download them manually. TuxGuitar has a suitable plugin for your OS enabled by default, but you may switch to another one in the plugins dialog.
Java Sound plugin, relying on the soundbanks, is still available in the form of the "Java Sound Api plugin". You can adjust and change the soundbank with "Configure" button in the plugins dialog.
If the plugin is enabled, in the Sound tab of the Tools → Settings dialog you can choose "Java Sound Synthesizer" in the Midi Port list. That enables sound output using Java soundbanks.
If you have the TuxGuitar ALSA plugin enabled or if you are running TuxGuitar on the Windows platform TuxGuitar detects your system MIDI ports (devices) automatically.
So it depends on your system settings, but anyway, if the proper plugin is enabled and working you should see system ports in the Midi Port list in the Sound tab of the Tools → Settings dialog. Choosing the right one enables your native MIDI sound in TuxGuitar.
If you experience problems using your native MIDI output, consult the help of the plugin you are using.
Beside MIDI Port sound options in the Tools → Settings → Sound tab is also MIDI Sequencer options. In general, you should use Real Time Sequencer because it’s faster, but it needs Java Sound plugin to be enabled.