There is a problem though. The version of that player from Cakewalk, doesn’t permit more than one instance at a time which means you could only use one instrument at a time.
A fix (sometimes called multi-core sfz) was created to allow multiple instances and therefore multiple instruments. Who created it I don’t know but curiously Cakewalk still only provides the single instrument version although if you search, you might find the multi-core sfz version.
But now there is the free Sforzando from Plogue. Sforzando is a relatively new sfz player that to me, seems better than even the Multi-core sfz player. Sforzando is a sample player from Plogue that permits multiple instances, requires less CPU time than Multi-core SFZ, and would also appear to be under active development whereas Mutli-core sfz seems to be a long dead project.
Another advantage to Sforzando is the support for key switching. This enables you to press a key and select a different articulation or different instrument depending on what your sound font supports. Personally I find this feature essential for orchestral instruments.