Can't hear MIDI!

Alrighty I'm a first time poster here, and I am VERY CONFUSED, so don't yell at me when I don't make any sense.

Alrighty I have a keyboard, and I want to play songs on them and then they go onto the computer...(perferably with 'Sound Recorder').
I have the equipment I need. The cable that goes from the "Out" spot from the keyboard into the "In" spot of the EDIROL USB MIDI INTERFACE UM-1SX thing, which leads to the usb port into my computer. I installed the drivers with the CD that came with it. I notice that there is no "MIDI" section in the Volume controls or the Recording Controls, is there supposed to be?
Now I want to play stuff on the keyboard and have it come out on Sound Recorder. Right now when I do it it just doesn't do anything...

Sorry if this is the wrong place to post this..but..blah I'm so confused!
Please help!

 

Go to Properties on Sound Recorder/Volume Control, and put a check mark next to MIDI Synth. Tell me if this helps!

 

I don't have a MIDI Synth!
I have:

Master Volume:
Master Volume
Wave
SW Synth
Aux
Video
CD Audio
Line In
Microphone
Phone Line
PC Speaker
(and in Options -> Properties they're all checked off)

Recording Control:
Stereo Mix
Mono Mix
Aux
Video
CD Audio
Line In
Microphone
Phone Line
(and in Options -> Properties they're all checked off)

Help? Do I need a new Soundcard?

 

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BUMP!

 

Well, I don't really know what's wrong, unless your MIDI controller is turned off on the mobo or something...if that's even possible.