I'm sure I must be asking something obvious, but I'm sort of stuck here.
I try to play midi file with bassmidi.dll, I get C example from bassmidi.dll archieve - miditest, compile it and try to play some midi file and I see lyrics from this file & timeline but I don't hear any sound.
Could anybody answer me, what am I doing wrong?
You didn't mention it, so the first thing to check is the soundfont.
Did you download chorium.sf2 (for example), then tell the miditest program to use it ([Replace] button)?