Maybe getting there.
1. Keep your keyboard in GM2 mode.
2. Enter some chords
3. Choose a style that is all MIDI. ( first entry in the style list)
4. Put a check next to drums. You'll see the list to the left of the GM2 button say "1 Standard"
5. While the song is playing click the drop down arrow and note that you have a bunch of #s but some have names. The ones with names are the GM drum Kits as Rharv mention above. Click on one of them and you'll see that it changes sound. It should anyway.
If you stop the song and hit play again it'll go back to the standard set as that's what's programmed into the style. If you want to keep those sounds assign them before you hit play and then go to file/save with patches and harmony. After that reload the file you just saved and it'll have the changes you just made.
If you are working with a MIDI file you downloaded to access the inst change menue you need to click on the round,green, SEQ button.The click Sequencer on melody track. There is were you'd change patches.