Alto Saxophone in the altissimo (extreme) range. Lots of glissando and portamento so everything slides, thus producing a wailing sound. Generally unless you have a sample of a saxophone actually doing this, it's not going to sound very good trying to reproduce it yourself, or at the very least it will be difficult to get it to sound natural instead of artificial, although I'm not the best when it comes to MIDI commands and stuff, so arlen may correct me on that.