Well, it sounds like you have the program running, which is good.
Now here's the hard part: using the software. Midi sequencing software, on PC or ST, is complicated and takes practice. Have you used any music software like Cubase or anything before? I mean Mac or PC versions.
Anyway, if you think that Atari ST is all you need to make MIDI music, then you are sorely mistaken. You will need external sound modules, like a sampler, soundcanvas, synthesizer, or a PC with VST supporting software and MIDI ports. Also, you will want a MIDI instrument such as a keyboard. Then, you will be able to sequence music!
There is a cheaper way though. You can use a tracker. A tracker can make great music using the internal sound-chip of your ST, and it's free. However, it's not as flexible because of the limitations of the YM2149 (the ST's sound chip). Also, the interfaces are not very intuitive to people who are used to more traditional studio software. However, if you do decide to try the very technical art of tracking, I'll recommend MaxYMiser as your software.
Sorry for the long response, but your question was somewhat vague.