But it still doesnt play anything on the music program.
Does the LED flash when you run my code? It should flash every time you send a MIDI message. If it does not you have wired up something wrong between the cable and the Arduino. If it does flash but no sound is heard then there is something wrong with your MIDI routing / assignments on your PC.
The most common problem is the swapping over of the two signal connectors on the socket. You are using a 5V Arduino arn't you?