I have a Dell Axim and have looked at the possibilities for Midi (about 3 years ago) with little success.

There is some limited midi-file edit and playback software out there.

However if you want to connect directly to a sound module or keyboard life is more difficult as there have been very few midi interfaces made and I'm not sure whether any are still available. I didn't find anything that would use the proprietary serial interfaces used by Korg / Yahama / others, nor anything that hooks up via USB, because these need special drivers that are usually only available for PCs.

I searched for "midi" here and some hits came up that may assist:
http://www.palmblvd.com/index.html