Connect your keyboard to your MIDI controller. Plug one end of a MIDI cable into the "MIDI OUT" port on the back of your MIDI instrument, and then plug the opposite end of the cable into the "MIDI IN" port on the back of your MIDI interface controller.
Plug a second MIDI cable into the "MIDI IN" port on the back of your MIDI instrument, and then plug the opposite end of the cable into the "MIDI OUT" port on the back of your MIDI interface controller.
Install any drivers packaged with your MIDI interface device, to your computer--if your device is "plug and play," there will be no drivers necessary to install.
Connect the MIDI interface device to your computer via its supplied USB cable. If you purchased your MIDI interface device second-hand and there is no USB cable, purchase a standard "A to B" USB cable from most electronics stores. Plug the "B" end of the cable into the USB port on the MIDI interface device and then plug the "A" end of the cable into a USB port on your computer (see References for more info).
Open your MIDI audio sequencing tool and select the "Tools," or "Settings" menu. Select your MIDI interface device from the list of available audio components.