Pianos are acoustic instruments,they don't have MIDI.
If you want help you'll have to provide some real information. What version of LMMS? What operating system are you using? Did you actually try anything in the Wiki and if you did WHAT HAPPENED!
What sort of (electric?) piano is it? Are you sure it has MIDI out? And is it enabled? How does it connect to the PC? Does it work with any other software?
Steve