C#

using System;
using System.Runtime.InteropServices;

class Program
{
    private static MidiTest midiTest;

    static void Main(string[] args)
    {
        midiTest = new MidiTest();
        midiTest.Start();
        Console.ReadKey();
        midiTest.Stop();
    } 
}

internal class MidiTest
{
    private delegate void MidiInProc(IntPtr hMidiIn, int wMsg, IntPtr dwInstance, IntPtr dwParam1, IntPtr dwParam2);

    private IntPtr handle;
    private MidiInProc callback;

    public void Start()
    {
        callback = new MidiInProc(Callback);
        midiInOpen(out handle, 0, callback, IntPtr.Zero, 0x00030000); // 0x00030000 = callback is a function (delegate)
        midiInStart(handle);
    }
    public void Stop()
    {
        midiInStop(handle);
        midiInClose(handle);
        handle = IntPtr.Zero;
        callback = null;
    }
    private void Callback(IntPtr hMidiIn, int wMsg, IntPtr dwInstance, IntPtr dwParam1, IntPtr dwParam2)
    {
        switch (wMsg)
        {
            case 0x3C3: // Short message received
                int data = (int)dwParam1;
                int timestamp = (int)dwParam2;
                break;
        }
    }

    [DllImport("Winmm.dll")]
    private static extern int midiInOpen(out IntPtr lphMidiIn, int uDeviceID, MidiInProc dwCallback, IntPtr dwCallbackInstance, int dwFlags);
    [DllImport("Winmm.dll")]
    private static extern int midiInStart(IntPtr hMidiIn);
    [DllImport("Winmm.dll")]
    private static extern int midiInStop(IntPtr hMidiIn);
    [DllImport("Winmm.dll")]
    private static extern int midiInClose(IntPtr hMidiIn);
}

1. The MIDI Input is open (midiInOpen)
2. The MIDI Input is started (midiInStart)
3. There is at least one buffer available
4. The buffer is prepared (midiInPrepareHeader)
5. The buffer has been added (midiInAddBuffer)
6. The buffer has been (re)initialized correctly (dwFlags cleared etc if reusing the buffer)

using dcof.Entities;