Install a MIDI recording program. Any music recording program will do, as long as it supports MIDI. Examples include Pro Tools, Audition, Reason, GarageBand, Cakewalk and FL Studio.
Connect a MIDI interface to your computer. In order to connect any MIDI device directly to your PC, your computer must have a "MIDI In" jack enabled. Since commercially-available computers do not contain these jacks by default, you can bridge the gap by connecting a MIDI interface to your USB port. If you do not have a MIDI interface, you can purchase one from your local electronics store or music supply store.
Connect a MIDI cable to your MIDI guitar, using the "MIDI Out" jack along the side. Your MIDI guitar can now function as an output device.
Insert the other end of the MIDI cable into your MIDI interface, through the "MIDI In" jack. You can now transmit MIDI data from your guitar to your PC.
Open your MIDI recording program. Select the "New MIDI Track" or "New Software Track" option from your menu bar, in order to enable MIDI recording. Some programs will feature only a generic "New Track" option on the menu bar and will then prompt you to select "Audio" or "MIDI."
Click your "Software Synthesizers" or "Software Instruments" menu to view your instrument options. If you want to stick with traditional guitar sounds, select a "Guitar" instrument from the list of presets. If you want to get creative, you can select a different instrument, like "Orchestral Strings," "Bright Keyboards" or even "Brass." When you play your MIDI guitar, the computer will play the music back using the sound of your selected software instrument.