Why do you want to change the MIDI file after it played once? If you want one to play after the other, why not just combine them into a single MIDI file?
GameDev should be able to play any file that media player can play. Some drivers expose CD tracks as CDA files, which I think Media Player will use to play the associated music track. Maybe you can load a CDA file into GameDev and see if it will play the associated music track from CD.
Funny -- whenever anybody wants to do something complicated without script, I find myself replying that it'd be easier to do with script. But once someone thinks they have a task for scripting, my suggestion is, hey, you could probably do that without script