The 1N914 diode was state of the art when the MIDI specification was written (over thirty years ago). Nowadays, the 1N4148 is better and cheaper. Any other small silicon or Schottky diode would also work.
The resistor values are shown in the schematic:
Red/red/brown is 220 Ω, red/violet/brown is 270 Ω. (The circuit can be improved with a 10 kΩ resistor between pins 5 and 7 of the optocoupler, and then the 270 Ω resistor can be increased to about 1 kΩ.)
There are different styles of MIDI sockets:
All of them are described as "DIN socket, female, 5 pins, 180 degrees", and are meant to be soldered. The square one could be jammed into a breadboard, with enough force.
Alternatively, you could take apart a MIDI cable and solder two pins to the two signal wires so that you can plug it directly into the breadboard (this is what the linked articel does).
In a breadboard, the five holes in each vertical row are connected together.
See, e.g., Sparkfun's How to Use a Breadboard for details.
You could make your own connector wires from AWG 24 hookup wire, or buy premade jumper wires.
This jumper is called a solder jumper; you are meant to apply a blob of solder to connect them.