Any software program with MIDI THRU capabilities may work. I guess that every DAW would be able to do that. For instance,
Cakewalk by BandLab, which is free. But I guess that any DAW would be too complicated for this simple use case. As an alternative, I can offer you my
VMPK which is not made for this usage in the first place, but I think that would be simple enough.
The problem is that Windows does not provide a way to connect two MIDI devices natively (The Microsoft GS Wavetable synth is a software synth, but it is built as a device driver). It is a mirror problem like to connec two software MIDI programs in Windows, where you need to install a virtual MIDI cable to do that.