Well, I don't know that much, but I'll tell you what I do know. MIDI (Musical Instrument Digital Interface) is a standard set of voices stored on your soundcard. There are 128 of them, starting on Grand Piano. The GM (General MIDI) voices are also on your DJX. Depending on your soundcard, the quality of MIDI will vary.
I'm sure you have MIDI tunes on your system. You should have noticed that MIDI files are very small (20 k or so). This is because no audio data is actually being saved (unlike WAV or AIFF). All that is stored in the file is a set of instructions for your soundcard. When you play the file, it tells your soundcard to play a certain note in a certain voice.
If you want to create your own MIDI, you will first need a sequencing program, such as Cubase or Cakewalk. Demo versions are available from their websites (www.steingberg.com, www.cakewalk.com). These are what you use to create your MIDI tunes, and are quite easy to get the hang of. Unfortunately, the full versions of either of these products are very expensive.
To use your DJX for MIDI you will need a MIDI cable, which should be obtainable from an audio/electronics shop. One end goes into the MIDI out port on the back of your DJX, and the other end goes into the joystick port on the back of your PC. You are now ready to use the DJX in conjunction with a sequencer. Data from the DJX is sent to the sequencer. My knowledge is limited (I don't have a sequencer), but I'm sure your post will get plenty of replies from those who know. Maybe you could post a message on the 'general discussion' board with your MIDI question for tons of help.