The Java runtime engine used by JJazzLab has an internal Midi synth (sometimes callled Gervill).
If you don't load a SoundFont file it will use its built-in GM sounds.
The built-in GM sounds are not good quality sounds, but it can be enough to test JJazzLab. The good thing is that no setup is required, it will work out-of-the-box.
Initial setup with the JJazzLab SoundFont
The Java internal synth is not high-performance. When used with a large SoundFont like the JJazzLab SoundFont you may hear some dropped notes when too many notes are played.