MIDI (Musical Instrument Digital Interface) is a protocol developed in the 80's allowing electronic instruments and other digital musical tools to communicate with each other. While the MIDI itself doesn’t make any sound, it is a series of messages like "note on", "note off", "note/pitch", "pitchbend", and many more. These messages are interpreted by a MIDI instrument to produce sound.
Think of it this way. MIDI is just a programme that allows your musical notes to be tweaked straight from your computer!