It seems like alsa could not find a hardware synthesizer (or your sound card does not have one - which is precisely my case)...
you may want a software synthesizer, try sourceforge.net/projects/timidity/ , it can be configured as a MIDI output device for ALSA (check the documentation)...
Timidity needs a soundfont to produce the actual sound, google for this, "The atomic soundfont" works fine for me...