This is one of those questions that is answered in the Help files and User manuals  so when you ask for help you should be trying there first...sometimes you leaarn lots or other interesting stuff as a bonus !  In any case, laptop  or PC ?  Sound caard or no ?  happen to have any cables laying around...doesn't work wireless, at least not yet 

You're off to a good start, you got a Midi keyboaard and you wanna make a Midi file....go for it !