Error 72 means that a mandatory field is missing in the SF2 files. The SoundFont2 standard describes what fields MUST be present in an SF2 file to consider it valid.
In this case the missing field is the "target sound engine", which is mandatory in SF2 files.
Although this is not a very important field (anymore) for softsynths and softsamplers EMXP is currently strictly complying with the SF2 standard. I'm working on version 2.10 right now, and since other people had the same problem, I will make EMXP more tolerant in the next version
Anyway, here is how you can currently solve the problem:
Download the free Viena soundfont editor software (note: I mean the Viena free software, not the original Vienna editor from Creative which requires a creative soundcard).
Then follow the following steps:
1/ Load your soundfont2 file in Viena (File -> Open)
2/ At the bottom window, in the small "window" called "SoundFont File Information", scroll down the list. The last parameter is called Target Engine. Put a value in the blank field at the right of it. Any value is OK, e.g. "blabla"
3/ Press the button "Save Changes" at the right of that small window (still in the bottom half of the main window)
4/ Then save the complete soundfont file with File -> Save As...
The file is OK now for EMXP.