You can find the MIDI settings in the Settings window.
ALSA-Sequencer is the recommended setting for Linux. WinMM MIDI is the default setting for Windows. Modify the default settings only if necessary.
This is a quick way of connecting your Instrument to a MIDI device. For more advanced settings go to the MIDI tab.
The MIDI tab in the Instrument Editor has some more advanced options.
You can read on how to connect a MIDI device to an instrument in the MIDI tab section.
To connect to a knob, right-click on it, select "Connect to controller", make sure MIDI controller and Auto Detect are lit up, then just move the mod wheel on your MIDI device.