ModPlug Tracker should suffice. You can track your songs there, import some midi-files and save them as MOD, S3M, XM or IT files.
For best compatibility with JJ2 it's adviced to use the S3M format. Once you've got yourself a copy of ModPlug Tracker find yourself a midi-sample library. Most Windoze computers come preinstalled with one or you may find one in some DirectX-distribution (*.DLS). You don't NEED a library, you can choose individual samples but a library makes converting midi-files a whole lot easier.

As you don't seem to know what tracking actually is, it is adviced to read some documents over at United Trackers, where you'll also be able to find some links to samples. Especially useful to read is the Tracker's Handbook, which will guide you on your first steps into the tracking-scene.

That's about it. If you've got any more questions: RTFM .