Yes they're generally listed as gameport/joystick to midi or DIN cables.
You can generally select General MIDI or Sound Canvas in a game, and point it to the I/O port of your sound card that's dedicated to that. Soundblasters commonly use 330h.
My setup: gameport to SC-7. Then RCA out of the SC-7 back into the Line-In of my soundcard (using an RCA to 3.5mm cable). The Line-out then contains both game and midi audio, and I send that to my speakers.
I personally haven't tried getting the midi synthesiser to mix the audio (it's on the TODO list to try out).