It means it has neither an on-board MIDI synth chip nor a MIDI interface.
You can still play MIDI files via a soft synth, but to get MIDI data into and out of the computer you'll need a MIDI interface.
If you don't need four simultaneous inputs, perhaps you could consider the Audiophile from the same manufacturer; it has two analog inputs plus a MIDI interface and is significantly cheaper.
If you are only playing pre-existing MIDI files and using a soft synth as the MIDI sound source, you don't need a MIDI interface.
As stealthtech suggests, you can likely use the existing sound hardware in the PC for a MIDI interface (with a gameport adapter) and/or as a synth.