Before you can control FFRend with MIDI, you must first select a MIDI device. Then you must assign MIDI messages to the things you want to control, using the MIDI Setup dialog. To show or hide the dialog, use View/MIDI Setup or Shift+I. MIDI assignments can be created via editing, or learned.
Things to which MIDI can be assigned are called targets. The most common MIDI targets are plugin parameters, or oscillator settings, such as modulation frequency. The list of available targets varies, depending on which plugins are loaded.
The MIDI Setup dialog contains tabbed pages of rows, much like the main window. There's a page for each plugin, and its rows correspond to the plugin's parameters. Each row lets you assign MIDI to a parameter's properties, which include the parameter itself, and its oscillator settings. Use the drop-list in the upper left corner of the dialog to select which property you're assigning to. If you just want to control parameters, not their oscillators, leave the drop-list set to "Parameter".
Put another way, the parameter pages form a three-dimensional matrix of MIDI targets, in which the axes are plugins, parameters, and properties. The pages correspond to plugins, the rows correspond to parameters, and the drop-list selects a property.
The dialog also includes three additional pages: the Plugin page, the Misc page, and the Metaparam page. The Plugin page is for properties that occur once per plugin, e.g. Bypass; the page contains a row for each plugin. The Misc page is for system-wide properties, e.g. Master Speed. The Metaparam page lets you assign MIDI to metaparameters.