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.
Download JJazzLab-SoundFont.sf2 from the Musical Artefacts web site
In the JJazzLab Midi options, select the Java Internal Synth and load the JJazzLab-SoundFont.sf2
Go to the Output Synth Editor and apply the preset Java Internal Synth