Midi notes consists of midi messages with many parameters. When you press a key, the "note on" midi message will come on and that tells your sound generator to play a note. When you release the key, the "note off" message will come on and the note will stop. There are many midi messages - sustain, velocity (how hard you play will give you the loudness of the sound), after-touch, portamento, vibrato, pitch bend etc etc etc. These parameters can be controlled by 1. the keys themselves (pressing them, pressing them further after holding the keys down etc), 2. switch pedals (like a sustain pedal), 3. expression pedals, 4, knobs, and 5. wheels (or stick in some keyboards). The 2 wheels you see are the pitch bend wheel (bends the note up or down - can program how many semitones you want to bend) and mod wheel. Controls can also control the timbre and colour of the sound by varying different parameters like panning, filters, oscillators etc.
Really, there are many more ways to control midi like the x-y-z controller on the picture you show above (round thing on the top left hand corner). They are all programmable and assignable.