I made a little sample for you cause I didn't have anything better to do
http://koti.mbnet.fi/smiika/downloads/DMSample.zip

It shows how to initialize DirectMusic and load & play midi file. It can also play sgt and sgp files which are native fileformats of DirectMusic. They can also contain sound samples in the file, a bit like mod or xms.

M109uk, there are many benefits using DirectMusic in insted of TMediaPlayer. DirectMusic has a pretty good sounding software synthesizer which supports DLS files and you can even use SoundFonts (though it's a bit tricky) and synth supports also reverb, chrous, flanger and many other effects which can be all adjusted on the fly. Most of soundcards (or integrated AC'97 chips which don't have hardware midi at all) lack all these features anyway.