To select the midi IN device use the menu.  The currently selected device (if any) will be shown with a check mark.

The record button will change from a disabled to a selected state:

To start the device click on the record button again.  The button will change to a started state:

If you do not see the midi instruments listed in the drop down menu, that's because the instrument was not turned ON before starting the computer.  In that case it is necessary to first shut down the computer, then start the midi instrument and then restart the computer, in that order.