You are searching for answers in a wrong place my friend Try the vogons forum for retro-sound stuff:
http://vogons.zetafleet.com/viewforum.php?f=46&sid=6f2f4136efc32993ae2f0c96f31ab...
You will find a lot of infos about old AWE cards, midi setup and soundfonts.

As for your problem directly, make sure the 'midi device' in control panel is set correctly (what devices do you have there?). What sound fonts are you trying to load? How much memory do you have available on your AWE64?

If you have at least 8mb, you can try the chaos sound font (8mb version). If you have more (28mb) use Chorium. As for other, smaller SF - I never tried them, but check the vogons, maybe they did.

elfuego is right, you'd better ask about sound cards, MIDI and that kind of stuff in VOGONS. There you'll find both of us again, and we'll give you the same advices again, but it's the right place after all. I'll tell you some brief points anyway.

Sound Blaster AWE64 Gold is a nice ISA sound card, maybe the best ISA Sound Blaster ever made, but it's not perfect. It has 4 mb of onboard memory, and that's not enough for big soundfonts (previous AWE cards were even worse, with only 512 kb, which are virtually useless). That 3.5 mb soundfont is one of the biggest soundfonts you will be able to load without a RAM upgrade. You can't load any 8 mb soundfont, and of course you can't load Chorium, Unison, GeneralUser, AnotherGS or any of the several 28/32 mb soundfont available out there.

The MIDI daughterboard is a good idea, I have one of those Yamaha DB50XG and also some NEC XR385, which is a very affordable clone of Yamaha DB60XG, easy to find in eBay. However, your AWE64 Gold does not have a daughterboard connector, so you would need another sound card to attach it. Still not a bad idea, most people use two or even more sounds cards on the same system, because there's no single sound card that supports all the standards needed: AdLib FM Synthesis, Creative Sound Blaster, Roland LA Synthesis and Roland General MIDI.