To transfer these sounds into your Fantom-G, you must use the Fantom-G Editor. Your Fantom-G package contained a CD with the Fantom-G Editor, Librarian plus the USB driver, but it would be better to download the latest version from Roland's website.
Once you install the Editor and USB driver, connect your Fantom-G with the computer with a USB cable. Run the Editor and select the command: File -> Import SMF. Locate the MID files that you downloaded and load them into the editor one by one. Each time you load an SMF, the corresponding sound will be transferred to the Fantom-G. You can see the sound's name in the Fantom-G's screen, you can play the sound on the keys but it is not saved yet. To save the sound, press the Write button on the upper right of the Fantom-G's screen. Select a name and a location and the sound will be a part of the project. Do this procedure for each sound you want to transfer into your Fantom-G.
Art, I think that we must do a FAQ about loading MID sounds into the Fantom-G. I can't remember how many times I've written these instructions so far! 