This option allows you to select a MIDI device. The list of devices varies, depending on what MIDI hardware is installed. If your PC doesn't have a MIDI device, the only option is "No MIDI input", which disables Whorld's MIDI support.
The default value is "No MIDI input", which means that in order to use MIDI, you must select a MIDI device at least once. Typically, you'll also need to assign specific MIDI messages to Whorld's functions, using the MIDI Setup dialog.
If you're using a USB MIDI interface, always connect it to the PC before launching Whorld. If you launch Whorld while the interface is disconnected, your device selection will be lost, and connecting the interface won't make it appear in the device list: you must first exit Whorld, and then connect the interface, re-launch Whorld, and reselect the device.