MIDI just covers switching events, like the pressing of a key or button or the turning of a dial, but it does not carry audio.
You can think of it as being a bit like a remote control - when you press channel 001 on your remote, the remote doesn't know that it's time for Eastenders on BBC1; its job is just to blindly send signal 0, then 0, then 1.
With MIDI, when you press the C key on a MIDI keyboard (aka Controller) it sends a signal down the wire saying Key C1 is pressed and when you take your finger off it sends another signal saying Key C1 is released; that's pretty much its most basic functionality!
Now, the thing listening at the other end (the MIDI module) will receive that and act accordingly; it could be a MIDI organ and play a lovely pipe sound, it could be a drum synth and play the kick drum, it could be a lighting unit and turn on a parkan, it could be to switch on a feature on an FX board, or some other function which someone decided to produce something for. MIDI itself doesn't carry the sound/flash/whatever.
It's a really simple system which can be interconnected to make complicated things happen. (When you add in the possibility of a computer program generating events, then it takes on an extra dimension.)