I can tell you what's wrong. MIDI isn't sound. MIDI is where the computer tells the keyboard when and how hard to push a certain key and then it let go. That's it. No sound.
To get the sound, you have to cable the headphone out of the keyboard (the way I did it) into a computer sound connection. That's exactly how I made this short sound clip...http://www.kozco.com/tech/piano2.wav
The software that presses the keys is called a sequencer and I think the original CakeWalk software is the most famous. That's
what goes down your USB connection.