I'm guessing the flashing light is the midi message light? Thats a good sign as it shows it is receiving data.

For testing plug speakers/headphones direct to the MT-32
I would try playing midi music in windows first to confirm it is setup correctly, once you know windows can see the MT-32 then you can troubleshoot programs

When you stated you have the flashing LED on your UM-one, was that while you were in Dosbox or just in Windows?

In Dosbox there are two basic things you need to do to get Midi working, especially when changing out to a new computer:

1. - Load up dosbox and as soon as you get to your prompt type:
mixer /listmidi

That should give you a small list of midi devices that dosbox is able to detect. You will likely show the Windows GS soundbank that is standard as well as the UM-one. Make note of which device number the UM-one is.

2. Edit your dosbox.conf file so that in the midi section you have these specified:
Midi config = "#" of your um-one device

That really should be it. There are a few other things in the dosbox config as well you can adjust like the midi mode being intelligent..etc and the Midi device I usually leave as Win32 if I remember correctly. But the Config line is the most important so that dosbox knows which midi device to use. If I don't specify this, then I either get nothing or I usually end up with the windows default GS bank instead.

My guess is if you have the cable working, it's hooked up incorrectly to the MT-32. Out goes into In, no other plugs need to be used, although you can put In into Out if you feel like it.