So I'm brand new to the software and completely lost. There's the file folder labeled MIDI Library and it lists all of these seemingly great instruments to use... that don't exist if you double click on them. If I double click it opens up a selection window that lists all of these weird samples that have nothing to do with the instruments listed in MIDI Library. What is this, how do I use MIDI Library if it's something other than a cruel taunt, what am I even looking at?!
The MIDI library's purpose is to provide a default instrument set for MIDI import. If you double-click one of its entries, you can replace these instruments so that MIDI import uses different ones. You can drag&drop any items from the MIDI library into the sample or instrumen editor to use them in other cases, though.
Note that by default, the MIDI library uses the GM.DLS sound library that is shipped with Windows, so its content is not any different from the GM.DLS folder right below it (which you can indeed double-click to preview sounds).
Alright, so why can't I drag and drop instruments?
Be sure that you are dragging them into the black area in the sample or instrument editor. If that doesn't work, verify that there is actually an instrument filename (typically GM.DLS) next to the instrument name in the MIDI library. When installing e.g. on Linux via Wine, the default soundfont GM.DLS is not available. These samples are not a part of OpenMPT itself but rather the system.