There are three MIDI "volumes."
Controller 7 (Volume) is the most commonly used volume control. 127 = loud. 1= quiet.
Controller 11 (Expression) also controls volume. Is this redundant? Somewhat, but some people use CC11 to control all their swells, fades, and other volume expressions. Then they just put a single CC7 message at the first of the sequence to control the overall volume without messing up all the expressive volume changes they created with CC11. This way they can get the instrument sounding perfect and then turn the whole thing up or down.
Velocity is how fast (hard) you hit the keys. Every MIDI note has a velocity (0 to 127 or 1 to 128). Big numbers are louder.
Standard synths should use these as described, but some do not. Some synths do not respond to velocity. Hollywood strings uses CC7 and CC11 differently on different patches (and uses Mod Wheel, CC1, to control volume for some patches.)
For you to hear any of this, you will need to have an audio track (or, in the case of a hardware synth), plug-in headphones.