well, i've always used noteworthy composer (
http://www.noteworthysoftware.com/)...its $39 nowadays, but its very easy to learn i think. It lets you import a MIDI (it will transcribe it for you on staffs). you can view and play this midi data as a whole song, or just each track at a time. you can also play the midi back while recording your own imput from the piano. im sure there are free midi sequencers out there, try
www.hitsquad.com/smm that should have lots of free or shareware (pay after 30-days, usually saving is disabled).
once you have your sequencer/notation program setup, you should plug in the MIDI cable to the keyboard, then the other end of the cable to the midi in on the computer. the computer should recognize it, and maybe (XP) install a driver for it. open noteworthy and hit record, turn on the keyboard and start hittin keys. if it doesnt play, you may need to switch the ends of the cable (which ends to put in IS confusing). if that doesnt work, we'll think about it.....
Mike