Currently LGPT supports most of the basic midi commands. It can send note on/off, volume information, continuous controller data and MIDI program change. More information on this can be found in the reference manual. Platform specific information follows.
The current gp2x firmware doesn't allow you to set arbitrary baud rates for the serial port (as the gp32 does) so piggy sends out serial data at an overclocked 38400bps. a pic is required to convert that high speed data down to midi's 31250 bps (±1%) spec. firestARTer has build such an interface:
Additionally you will need to:
./lgpt.gpe > midiout.log 2>&1
If the converter doesn´t work, try to swaping the pin connections of the MIDI-connector.
The windows version supports midi without much fuss. Simply navigate to the Project menu scroll down to Midi and select the midi out port you wish to use. More tips and tricks for windows can be found here
Much the same as Windows, if a device is detected by the OS, it will show up in the same place. Power tips can be found here