I agree with Mark T - it's pretty much a data translation you're dealing with - with the arduino sitting in the middle doing that
Two hardware tasks into and out of the arduino:
~ The electronic connection between a MIDI cable and arduino - current driven logic using optoisolators if I recall
~ The electronic connection between a stepper and arduino - see Robins post
One translation task inside the arduino:
Turning the MIDI info into a variable - you'll need to look up the protocol for sifting/addressing/translating the MIDI note or mod wheel serial data into into a number - then simply send that 'number' using whatever your stepper driver needs.
It'll no doubt have things to think about in terms of optimising your resolution/bit depth for best results. I reckon although it is another task to add to the list, interfacing and LCD or connection to a serial monitor from the arduino will be very helpful (for this and other projects) - you'll be able to see the data inside the arduino.