Go to the "Run" option in your start menu and type "dxdiag". There should be a tab in there for music. Check that the test works with all MIDI devices on your system; it could be that if one or more don't work, Blitz is trying to play out of the ones that don't work.
Do MIDI files play in other DirectX applications? (This is so we can test whether your DirectX needs to be re-installed, or whether it is solely a Blitz problem.)
Do MIDI files play in other DirectX applications? (This is so we can test whether your DirectX needs to be re-installed, or whether it is solely a Blitz problem.)