I've just finished tryign the Buttons example with a T3.2. When you first run the button code with USB MIDI, Windows should try to install the Teensy USB midi driver. Once it has done that, then open Midi-Ox, choose Options|MIDI Devices and in the MIDI Inputs pane of the MIDI Devices dialog, there should be a Teensy MIDI device. CLick on it and then click OK.
Now ground one of the pins and you should see the note on and note off messages.
Pete