the network protocol basically supported is http, so it will probably be the one you will use.
the simplest way to play a file that you get from the network is to create your player with the remote file name, for example :
Manager.createPlayer("http://whatever-site/whatever midi file");
and then play it when you need.
to avoid asking the user every 5 secs if he wants to allow the dl of the midi file, create the players at the init of the midlet