Well depending on what kind of soundcard you have, you could use sound fonts if your soundcard supports it. Other then that, I don't know how you're going to replace the General MIDI sounds Microsoft supports. There could be some program that could emulate the use of sounds fonts I suppose, but I've never looked into that.
The guys who did GP probably doesn't want anyone using any sound fonts because of their RSE for GP5 they developed which is basically.... A sound font. However, you did say you were using other programs? You can certainly get some great sounding VST instruments and use them through programs like Sibelius, Overture, Finale... etc...
Personally I write stuff in GP and export the MIDI to a program that supports VST and hear what it sounds like that way. Though that sucks as well because GP sets the volume and stuff in the MIDI and still haven't been able to change it in my other program. Ha.