press a midi key, turn on an LED

Hi, could somebody help me out please?

Can I use a midi controller to switch on 4 leds, connected to digital outputs 2-5? and if yes, can someone walk me through it, or point me in the right direction?

I've been searching the web and forum without any luck, but hopefully the answer is already out there :)

Thanks,

Fred.

http://arduino.cc/playground/Main/MIDILibrary