i) Learn how Windows handles MIDI. As usual, the MSDN should be your first port of call. Look under the Windows Multimedia section; you are looking for the midiInOpen etc functions. Alternatively, use a third-party MIDI lib. Not sure if any exist; never had to use them because the Win MIDI is actually surprisingly straightforward and hides the nastiness of running status and other things that could trip up a programmer.

ii) Learn how Windows handles Audio. MSDN again. Learn to use DirectSound, or as a fallback, MME. Also could look into ASIO for much better latency. There are some ( very ) good wrappers for all this, and PortAudio springs to mind.

iii) Learn how a synth works. The MusicDSP Archive has enough to get you started. Decide what kind you want ( subtractive, additive, physical modelling, frequency modulation, granular ) and research it.

iv) Write a synth. I''d recommend a constant supply of coffee too.