C#

midiOutGetNumDevs
midiOutProc (this will be a delegate in C#)
midiOutOpen
midiOutShortMsg
midiOutPrepareHeader
midiOutLongMsg
midiOutUnprepareHeader
midiOutClose

MIDIOUTCAPS
MIDIHDR

using System;
using System.Runtime.InteropServices;
using System.Threading;

namespace SimpleSysExSender
{
    class Program
    {
        const int MMSYSERR_NOERROR = 0;
        const int MIDIERR_STILLPLAYING = 65;
        static readonly int MidiHdrSize = Marshal.SizeOf(typeof(MIDIHDR));

        static void Main(string[] args)
        {
            int id = 0;
            byte[] data = new byte[] { 0xF0, 0x7E, 0x7F, 0x09, 0x01, 0xF7 }; // GM On


            if (id >= 0 && id < midiOutGetNumDevs())
            {
                IntPtr handle;
                if (midiOutOpen(out handle, id, IntPtr.Zero, IntPtr.Zero, 0) == MMSYSERR_NOERROR)
                {

                    IntPtr dataHandle = Marshal.AllocHGlobal(data.Length);
                    Marshal.Copy(data, 0, dataHandle, data.Length);
                    MIDIHDR buffer = new MIDIHDR(dataHandle, data.Length);
                    GCHandle gcHandle = GCHandle.Alloc(buffer, GCHandleType.Pinned);
                    IntPtr address = gcHandle.AddrOfPinnedObject();

                    if (midiOutPrepareHeader(handle, address, MidiHdrSize) == MMSYSERR_NOERROR)
                    {
                        midiOutLongMsg(handle, address, MidiHdrSize);
                        while (midiOutUnprepareHeader(handle, address, MidiHdrSize) == MIDIERR_STILLPLAYING)
                            Thread.Sleep(1);
                    }

                    gcHandle.Free();
                    Marshal.FreeHGlobal(dataHandle);
                    midiOutClose(handle);
                }
            }
        }

        [DllImport("Winmm.dll", SetLastError = true)]
        public static extern int midiOutClose(IntPtr hmo);

        [DllImport("Winmm.dll", SetLastError = true)]
        public static extern int midiOutGetNumDevs();

        [DllImport("Winmm.dll", SetLastError = true)]
        public static extern int midiOutLongMsg(IntPtr hmo, IntPtr lpMidiOutHdr, int cbMidiOutHdr);

        [DllImport("Winmm.dll", SetLastError = true)]
        public static extern int midiOutOpen(out IntPtr lphmo, int uDeviceID, IntPtr dwCallback, IntPtr dwCallbackInstance, int dwFlags);

        [DllImport("Winmm.dll", SetLastError = true)]
        public static extern int midiOutPrepareHeader(IntPtr hmo, IntPtr lpMidiOutHdr, int cbMidiOutHdr);

        public delegate void MidiOutProc(IntPtr hmo, int wMsg, IntPtr dwInstance, IntPtr dwParam1, IntPtr dwParam2);

        [DllImport("Winmm.dll", SetLastError = true)]
        public static extern int midiOutUnprepareHeader(IntPtr hmo, IntPtr lpMidiOutHdr, int cbMidiOutHdr);
    }

    [StructLayout(LayoutKind.Sequential)]
    internal struct MIDIHDR
    {
        private IntPtr lpData;
        private int dwBufferLength; // keep this under 16KB
        private int dwBytesRecorded;
        private IntPtr dwUser;
        private int dwFlags;
        private IntPtr lpNext;
        private IntPtr reserved;
        private int dwOffset;
        private IntPtr dwReserved;

        public MIDIHDR(IntPtr lpData, int dwBufferLength)
        {
            this.lpData = lpData;
            this.dwBufferLength = dwBufferLength;
            dwBytesRecorded = dwBufferLength;
            dwUser = IntPtr.Zero;
            dwFlags = 0;
            lpNext = IntPtr.Zero;
            reserved = IntPtr.Zero;
            dwOffset = 0;
            dwReserved = IntPtr.Zero;
        }
    }
}

using System;
using System.Collections;
using System.Collections.Generic;
using System.Globalization;
using System.Runtime.InteropServices;
using System.Threading;

namespace MidiSysExSender
{
    class Program
    {
        static void Main(string[] args)
        {
            // Check there are MIDI outs!
            if (MidiOutputCollection.Outputs.Count > 0)
            {
                // I'm assuming your device is the first one
                MidiOutput output = MidiOutputCollection.Outputs[0];
                // Open the output
                output.Open();

                output.SendSysEx(MidiSystemExclusiveMessage.GeneralMidiOn);

                // Close the output
                output.Close();
                Console.WriteLine("Done");
            }
            else
                Console.WriteLine("No MIDI Outs found");
            Console.ReadKey();
        }
    }

    public class MidiOutput
    {
        private NativeMethods.MidiOutProc callback;
        private MIDIOUTCAPS caps;
        private IntPtr handle;
        private int id;

        internal MidiOutput(int id)
        {
            // Get device capabilities/information
            MIDIOUTCAPS caps;
            int nativeResult = NativeMethods.midiOutGetDevCaps(id, out caps, MIDIOUTCAPS.Size);
            if (nativeResult == NativeMethods.MMSYSERR_NOERROR)
            {
                callback = Callback;
                this.caps = caps;
                this.id = id;
            }
            else
                // This should really be a custom MidiException with the message 
                // set to text retrieved from MidiOutGetErrorText
                throw new InvalidOperationException();
        }

        public int ChannelMask
        {
            get { return caps.ChannelMask; }
        }
        public Version DriverVersion
        {
            get { return caps.DriverVersion; }
        }
        public int Id
        {
            get { return id; }
        }
        public bool IsOpen
        {
            get { return handle != IntPtr.Zero; }
        }
        public int ManufacturerId
        {
            get { return caps.ManufacturerId; }
        }
        public string Name
        {
            get { return caps.Name; }
        }
        public int Notes
        {
            get { return caps.Notes; }
        }
        public int ProductId
        {
            get { return caps.ProductId; }
        }
        public MidiOutputTechnology Technology
        {
            get { return caps.Technology; }
        }
        public int Voices
        {
            get { return caps.Voices; }
        }
        public MidiOutputSupport Support
        {
            get { return caps.Support; }
        }

        private void Callback(IntPtr hmo, int wMsg, IntPtr dwInstance, IntPtr dwParam1, IntPtr dwParam2)
        {
            // Handle any MIDI Out callbacks here
        }
        public void Close()
        {
            if (IsOpen)
            {
                int nativeResult = NativeMethods.midiOutClose(handle);
                if (nativeResult == NativeMethods.MMSYSERR_NOERROR)
                    handle = IntPtr.Zero;
                else
                    // This should really be a custom MidiException with the message 
                    // set to text retrieved from MidiOutGetErrorText
                    throw new InvalidOperationException();
            }
        }
        public void Open()
        {
            if (!IsOpen)
            {
                IntPtr handle;
                int nativeResult = NativeMethods.midiOutOpen(out handle, id, callback, IntPtr.Zero, NativeMethods.CALLBACK_FUNCTION);
                if (nativeResult == NativeMethods.MMSYSERR_NOERROR)
                    this.handle = handle;
                else
                    // This should really be a custom MidiException with the message 
                    // set to text retrieved from MidiOutGetErrorText
                    throw new InvalidOperationException();
            }
        }
        public void SendSysEx(MidiSystemExclusiveMessage sysEx)
        {
            if (!IsOpen)
                Open();
            MIDIHDR buffer = new MIDIHDR(sysEx);
            // We need to pin the buffer so it doesn't move
            GCHandle gcHandle = GCHandle.Alloc(buffer, GCHandleType.Pinned);
            IntPtr address = gcHandle.AddrOfPinnedObject();
            // prepare buffer
            int nativeResult = NativeMethods.midiOutPrepareHeader(handle, address, MIDIHDR.Size);
            if (nativeResult == NativeMethods.MMSYSERR_NOERROR)
            {
                // Send message
                NativeMethods.midiOutLongMsg(handle, address, MIDIHDR.Size);

                // unprepare buffer
                while (NativeMethods.midiOutUnprepareHeader(handle, address, MIDIHDR.Size) == NativeMethods.MIDIERR_STILLPLAYING)
                    Thread.Sleep(1);
            }

            // IMPORTANT! Free all memory once we're done.
            gcHandle.Free();
            buffer.Free();
        }
        public override string ToString()
        {
            return string.Format(CultureInfo.InvariantCulture, "MIDI Output {0}: {1}", id, Name);
        }
    }

    // Singleton that creates a MidiOutput for each MIDI Out installed.
    // For singleton see: http://csharpindepth.com/Articles/General/Singleton.aspx
    // Wraps a List that holds the MIDI Outs
    public class MidiOutputCollection : IDisposable, IEnumerable<MidiOutput>
    {
        private List<MidiOutput> list;

        private MidiOutputCollection()
        {
            // Get how many installed outputs, this gives us the ids zero based (0 to count-1)
            int count = NativeMethods.midiOutGetNumDevs();
            list = new List<MidiOutput>(count);
            if (count > 0)
            {
                for (int id = 0; id < count; id++)
                    list.Add(new MidiOutput(id));
            }
        }
        // We need to ensure that all MIDI Outs are closed before we exit.
        ~MidiOutputCollection()
        {
            Dispose(false);
        }

        public MidiOutput this[int index]
        {
            get { return list[index]; }
        }
        public int Count
        {
            get { return list.Count; }
        }
        public static MidiOutputCollection Outputs
        {
            get { return InstanceHolder.Instance; }
        }
        public void Dispose()
        {
            Dispose(true);
            // Commenting out this line as Outputs may still need disposing if reused.
            // GC.SuppressFinalize(this);
        }
        private void Dispose(bool disposing)
        {
            if (disposing)
            { }
            foreach (MidiOutput midiOutput in this)
                midiOutput.Close();
        }
        public IEnumerator<MidiOutput> GetEnumerator()
        {
            return list.GetEnumerator();
        }
        IEnumerator IEnumerable.GetEnumerator()
        {
            return list.GetEnumerator();
        }
        public int IndexOf(MidiOutput midiOutput)
        {
            return list.IndexOf(midiOutput);
        }

        private class InstanceHolder
        {
            // Explicit static constructor to tell C# compiler
            // not to mark type as beforefieldinit
            static InstanceHolder()
            { }

            private static readonly MidiOutputCollection instance = new MidiOutputCollection();

            internal static MidiOutputCollection Instance
            {
                get { return instance; }
            }
        }
    }

    public enum MidiOutputTechnology
    {
        Undefined,
        Port = NativeMethods.MOD_MIDIPORT,
        Synthesizer = NativeMethods.MOD_SYNTH,
        SquareWaveSynthesizer = NativeMethods.MOD_SQSYNTH,
        FMSynthesizer = NativeMethods.MOD_FMSYNTH,
        MidiMapper = NativeMethods.MOD_MAPPER,
        WavetableSynthesizer = NativeMethods.MOD_WAVETABLE,
        SoftwareSynthesizer = NativeMethods.MOD_SWSYNTH
    }

    [Flags]
    public enum MidiOutputSupport
    {
        None = 0,
        PatchCaching = NativeMethods.MIDICAPS_CACHE,
        StereoVolume = NativeMethods.MIDICAPS_LRVOLUME,
        StreamOut = NativeMethods.MIDICAPS_STREAM,
        Volume = NativeMethods.MIDICAPS_VOLUME,
    }

    // Wraps a list of data bytes automatically inserting start and end of exclusive bytes
    public class MidiSystemExclusiveMessage : IEnumerable<byte>
    {
        public const byte SOX = 0xF0;
        public const byte EOX = 0xF7;
        public const byte MaxByte = 0x7F;

        public static MidiSystemExclusiveMessage GeneralMidiOn = new MidiSystemExclusiveMessage(0x7E, 0x7F, 0x09, 0x01);
        public static MidiSystemExclusiveMessage GeneralMidiOff = new MidiSystemExclusiveMessage(0x7E, 0x7F, 0x09, 0x02);

        private List<byte> list;

        public MidiSystemExclusiveMessage(params byte[] data)
        {
            if (data == null)
                throw new ArgumentNullException("data");
            list = new List<byte>(data.Length + 2);
            list.Add(SOX);
            foreach (byte b in data)
                if (b <= MaxByte)
                    list.Add(b);
            list.Add(EOX);
            list.TrimExcess();
        }

        public byte this[int index]
        {
            get { return list[index]; }
        }
        public int Count
        {
            get { return list.Count; }
        }

        public IEnumerator<byte> GetEnumerator()
        {
            return list.GetEnumerator();
        }
        IEnumerator IEnumerable.GetEnumerator()
        {
            return list.GetEnumerator();
        }
        public byte[] ToArray()
        {
            return list.ToArray();
        }
    }

    #region Interop

    internal static class NativeMethods
    {
        public const int MAXPNAMELEN = 32;

        public const int MOD_MIDIPORT = 1;
        public const int MOD_SYNTH = 2;
        public const int MOD_SQSYNTH = 3;
        public const int MOD_FMSYNTH = 4;
        public const int MOD_MAPPER = 5;
        public const int MOD_WAVETABLE = 6;
        public const int MOD_SWSYNTH = 7;

        public const int MIDICAPS_VOLUME = 0x0001;
        public const int MIDICAPS_LRVOLUME = 0x0002;
        public const int MIDICAPS_CACHE = 0x0004;
        public const int MIDICAPS_STREAM = 0x0008;

        private const int MIDIERR_BASE = 64;
        public const int MMSYSERR_NOERROR = 0;
        public const int MIDIERR_STILLPLAYING = (MIDIERR_BASE + 1);

        public const int CALLBACK_FUNCTION = 0x00030000;

        // http://msdn.microsoft.com/en-us/library/windows/desktop/dd798468(v=vs.85).aspx
        [DllImport("Winmm.dll", SetLastError = true)]
        public static extern int midiOutClose(IntPtr hmo);

        // http://msdn.microsoft.com/en-us/library/windows/desktop/dd798469(v=vs.85).aspx
        [DllImport("Winmm.dll", SetLastError = true)]
        public static extern int midiOutGetDevCaps(int uDeviceID, out MIDIOUTCAPS lpMidiOutCaps, int cbMidiOutCaps);

        // http://msdn.microsoft.com/en-us/library/windows/desktop/dd798472(v=vs.85).aspx
        [DllImport("Winmm.dll", SetLastError = true)]
        public static extern int midiOutGetNumDevs();

        // http://msdn.microsoft.com/en-us/library/windows/desktop/dd798474(v=vs.85).aspx
        [DllImport("Winmm.dll", SetLastError = true)]
        public static extern int midiOutLongMsg(IntPtr hmo, IntPtr lpMidiOutHdr, int cbMidiOutHdr);

        // http://msdn.microsoft.com/en-us/library/windows/desktop/dd798476(v=vs.85).aspx
        [DllImport("Winmm.dll", SetLastError = true)]
        public static extern int midiOutOpen(out IntPtr lphmo, int uDeviceID, MidiOutProc dwCallback, IntPtr dwCallbackInstance, int dwFlags);

        // http://msdn.microsoft.com/en-us/library/windows/desktop/dd798477(v=vs.85).aspx
        [DllImport("Winmm.dll", SetLastError = true)]
        public static extern int midiOutPrepareHeader(IntPtr hmo, IntPtr lpMidiOutHdr, int cbMidiOutHdr);

        // http://msdn.microsoft.com/en-us/library/windows/desktop/dd798478(v=vs.85).aspx
        public delegate void MidiOutProc(IntPtr hmo, int wMsg, IntPtr dwInstance, IntPtr dwParam1, IntPtr dwParam2);

        // http://msdn.microsoft.com/en-us/library/windows/desktop/dd798482(v=vs.85).aspx
        [DllImport("Winmm.dll", SetLastError = true)]
        public static extern int midiOutUnprepareHeader(IntPtr hmo, IntPtr lpMidiOutHdr, int cbMidiOutHdr);
    }

    // http://msdn.microsoft.com/en-us/library/windows/desktop/dd798467(v=vs.85).aspx
    [StructLayout(LayoutKind.Sequential)]
    internal struct MIDIOUTCAPS
    {
        public static readonly int Size = Marshal.SizeOf(typeof(MIDIOUTCAPS));

        private short wMid;
        private short wPid;
        private int vDriverVersion;
        [MarshalAs(UnmanagedType.ByValTStr, SizeConst = NativeMethods.MAXPNAMELEN)]
        private string szPname;
        private short wTechnology;
        private short wVoices;
        private short wNotes;
        private short wChannelMask;
        private int dwSupport;

        public int ManufacturerId
        {
            get { return wMid; }
        }
        public int ProductId
        {
            get { return wPid; }
        }
        public Version DriverVersion
        {
            get { return new Version((vDriverVersion >> 8) & 0xFF, vDriverVersion & 0xFF, 0, 0); }
        }
        public string Name
        {
            get { return szPname; }
        }
        public MidiOutputTechnology Technology
        {
            get { return (MidiOutputTechnology)wTechnology; }
        }
        public int Voices
        {
            get { return wVoices; }
        }
        public int Notes
        {
            get { return wNotes; }
        }
        public int ChannelMask
        {
            get { return wChannelMask & 0xFFFF; }
        }
        public MidiOutputSupport Support
        {
            get { return (MidiOutputSupport)dwSupport; }
        }
    }

    // http://msdn.microsoft.com/en-us/library/windows/desktop/dd798449(v=vs.85).aspx
    [StructLayout(LayoutKind.Sequential)]
    internal struct MIDIHDR
    {
        public static readonly int Size = Marshal.SizeOf(typeof(MIDIHDR));

        private IntPtr lpData;
        private int dwBufferLength; // keep this under 16KB
        private int dwBytesRecorded;
        private IntPtr dwUser;
        private int dwFlags;
        private IntPtr lpNext;
        private IntPtr reserved;
        private int dwOffset;
        private IntPtr dwReserved;

        public MIDIHDR(MidiSystemExclusiveMessage data)
        {
            // We need to get the bytes into unmanaged memory so the don't get moved
            IntPtr dataHandle = Marshal.AllocHGlobal(data.Count);
            Marshal.Copy(data.ToArray(), 0, dataHandle, data.Count);
            lpData = dataHandle;
            dwBufferLength = data.Count;
            dwBytesRecorded = data.Count;

            dwUser = IntPtr.Zero;
            dwFlags = 0;
            lpNext = IntPtr.Zero;
            reserved = IntPtr.Zero;
            dwOffset = 0;
            dwReserved = IntPtr.Zero;
        }

        public void Free()
        {
            Marshal.FreeHGlobal(lpData);
        }
    }

    #endregion Interop
}

• There is one common event for receiving both short and long messages, check out the Console Test app to see examples.
• Short and long messages are both sent via the same method (as an IMidiMessage).
• Combined messages such as 14bit controllers, RPNs etc implement IEnumerable<IMidiMessage>, and can sent by simply calling the Send method overload.
• The raw bytes received are available in e.MidiMessage.ToByteArray() as requested.
• Program changes, controllers etc have the standard names defined in enums - or you can use a numeric value if needed.
• Many classes have static readonly instances of commonly required things or static methods that with the required parameters will create commonly required instances.