Turn on a MIDI input device. You can use a MIDI sound module or a MIDI sequencer, but if you do not have any formal MIDI hardware, you can also use your PC. Just purchase any audio recording program that supports MIDI recording. These include Mixcraft, GarageBand, Logic, Cubase, Pro Tools and Reason.
Create a MIDI track, if using computer software. If using hardware such as a sound module, skip to the next step. If you want to create MIDI with computer software, most programs require you to create a MIDI track, which functions as a recording layer. In other words, you can record MIDI drums on track 1, MIDI bass on track 2, and MIDI keyboard sounds on track 3. Just locate the "New Track" command on your software window or menu bar, and choose "MIDI" when prompted to select between audio and MIDI track specifications.
Select a voice for your input. Computer programs will sometimes refer to voices as "Software Instruments" or "Software Synthesizers," found on the menu bar or track window. If using a hardware device, look for a button or onscreen menu that reads "Presets" or "Voices," and select an instrument sound, like a "Bright Lead" voice, "Deep Bass" voice or "Drum Kit" voice.
Select a MIDI channel. Some programs and hardware devices will ask you to designate a MIDI channel, so that your output and input devices can communicate with one another on the same frequency. You can choose any channel (except channel 10, which General MIDI specifically reserves for percussion), but make sure to choose the same channel for your input and output devices. If using computer software, you should find MIDI channels under the "Options" or "Preferences." Some programs do not require you to select a channel at all.
Connect your input and output devices. If using a USB MIDI controller for a computer, just connect it directly to your PC. If using a standard (non-USB) MIDI controller that you want to connect to your PC, first connect a MIDI-to-PC interface (sold at music supply stores) to your PC. Then connect your input and output devices using a MIDI cable. The cable connects to the port marked "MIDI In" on the input device (or interface), and to "MIDI Out" on the output device (controller).
Play your MIDI controller. You should then hear sound coming from your input device, based on the key that you press (so if you press middle C on the controller, you will hear a middle C sound on your input device). If you do not hear sound, check the volume on both the input and output device, check that each device is set for the same MIDI channel, and that your MIDI cable is properly connected.