To set up an virtual Midi Port on Windows you need to install a 3rd partie Software.
We recommend to use the well known and free virtual Midi Port "LoopBe1" from http://www.nerds.de
"LoopBe1 is an internal MIDI device for transferring MIDI data between computer programs. Basically LoopBe1 is an "invisible cable" to connect a MIDI outport of an application to any other application´s MIDI inport.
All MIDI data sent to the program´s output is channeled to the receiving applications in realtime.
You may connect up to 8 applications to LoopBe's inport and up to 8 applications to the outport, all sending and receiving at the same time.
LoopBe1 is a native Windows™ WDM kernel mode driver, so expect the lowest possible latency. Programs do not need to link with special libraries, so LoopBe1 works with every MIDI or DirectMusic™-capable application." http://www.nerds.de