Well the very first thing is to determine if you are actually able to send/receive messages with the keyboard. If you are able to connect to input/output ports under Settings->MIDI Settings->Configure MIDI Connections, then go to the MIDI tab of the song editor, tap the last icon on the right side to bring up the MIDI listen dialog and press keys on the keyboard. Do you see Note On and Note Off messages? If not, then there isn't good communication between the two. This points to either a problem with the cable, a MIDI driver issue, or some other kind of incompatibility. In these situations, you may need to put something between the two devices that is a MIDI class compliant device such as a Roland UM-One or a mioXC.
Mike
Mike