Yes, you need a program. MIDI is just another file format, like a Word document, except for music. There are several programs out there... the good ones costing $$$ of course. The only freeware one I know of is Anvil Studio. It will let you record MIDI's with MIDI and Audio equipment or you can drag and drop notes onto a staff. (I have downloaded it... I'm not that good at composing. :D )

-<font color="#33ff33">Nova</font>