MIDI IN/OUT labels tend to confuse me (probably because it is not correctly labeled on my keyboard, my MIDI interface or some other device I have), but I will assume OUT means output to a device (e.g. a keyboard) and IN means input from a device (e.g. the same keyboard). Assuming all this, I do believe he meant he was trying to record MIDI messages sent from a keyboard/synth/controller into a MIDI file on his computer.
With some software I have, I can play notes sent from my keyboard (e.g. when I play a few notes or turn on auto accompanient), but I cannot record them. Well, I can with a tracker. But then it is only on one selected channel and not polyphonic. Furthermore, it does not exactly allow me to save the data as a MIDI file.
And you are right, Saga. MIDI IN can't play anything. Only the recieving device can.