No, you don't need a yamaha keyboard to use XG, when you download the official* version of SYXG100 you get all the wave information for the sounds and effects with it. Of course I only use my PC for midis when I want to send them somewhere. Everything else I do on my keyboards

You don't even have to use the XG player unless you really want to... you just change your midi settings to use the XG wavetable instead of whatever built-in crap your card was shipped with, and then all your midi's are instantly beefed-up. You can get other programs such as XG Gold which allow you to tweak voices and effects parameters in real-time: examples of this include adding overdrive and distortion to guitar parts, chorus to strings parts and other neat stuff.

Unfortunately my soundcard is a tiny bit fuxed right now, so I'm having issues getting the thing to work, but I've had it running on my old PC and it really does rock.

*I reccommend ONLY using the program from Yamaha's site. You have to pay for the full version but seriously, if your PC can run it, it's worth every penny. Getting it from anywhere else might mean you get the player but not the wavetable... which is pointless as it won't sound any different!