Connect the MIDI controller to your computer using the MIDI to USB cable. Although a MIDI to MIDI cable is available for purchase, the columnists at MusicOnMyPC.com list several advantages associated with the MIDI to USB interface, declaring it a "simpler, high speed, no-fuss solution." Unlike firewire devices, USB does not provide electrical power to your device, therefore you will need to plug the controller into an external power source.
Turn the MIDI controller on and launch your audio production application. Before you will be able to replicate the sounds of a piano on your controller, you will need to assign a MIDI channel to the controller's outgoing signal and the computer's receiving port. Open the MIDI settings in your application and assign identical port numbers for the outgoing and incoming signal.
Open the preferences or settings menu within your audio application and review the settings associated with your computer's audio output. You will need to select a source within your computer for outgoing audio. This will typically be your computer's sound card.
Assign piano tones to the controller by creating a synthesizer or sampler within your application. The majority of audio production applications are equipped with at least one synthesizer capable of producing piano tones. Use the documentation provided with your software to locate the piano samples you will assign to your controller.
Route the synthesizer you have created to your controller by assigning the synthesizer to the MIDI channel you created for outgoing and incoming signals. Test the MIDI connection by pressing a key on your controller. If the proper connections have been established, you will hear piano tones through your computer's speakers or headphones.