The MIDI Out feature in Show Buddy is primarily intended for controlling hardware FX (like the Roland GT-10 or TC Helicon VoiceLive examples shown in the 1.1.0 release video).
For this, you (obviously) need some external equipment that can be controlled via MIDI commands. Some equipment supports MIDI directly via USB, so all you need to do is install the appropriate drivers and plug the equipment into a spare USB port.
In other cases, where the equipment does not support MIDI over USB, you will need a separate USB-MIDI interface for your computer like this one. Your external equipment would then plug into the MIDI interface.
Show Buddy can also send MIDI to other programs running on the same computer, via a MIDI loopback driver (such as LoopBe on Windows or the standard IAC MIDI driver in OS X). This would let you, for example, synchronise video playback on a VJ program like Resolume with Show Buddy – assuming your computer is powerful enough to run both Show Buddy and the VJ program simultaneously.