a sequencer is a way to digitally record midi instruments. the thing is, it doesnt record the audio, it records data, the on and off and velocity information. so if you ran a midi cable from the D4 to a sequencer you would have a series of on/off's recorded, to play back what youve recorded youd need to run the sequencer back to the brain, it then sends the recorded on/off data back to the brain and triggers it to play in the pattern you recorded. got it

id say start simple. use your computer. if you have a joystick port you can get a simple cable that uses that port for midi in and out. then hit up
the shareware music machine for a free/demo/shareware sequencer. thatll give you an idea of how it all works. and if you should bother with a hardware sequencer.