I'll answer this one for you the best I can. I have a Yamaha DX-7 2-FD, and I have used it as a midi controller many a times. I also use a Midiman Midisport 2x2 and 4x4 midi interface.
First you have to be sure and hook the midi in and out cables correctly. Then you have to install the drivers. Becuase I am assuming you use a PC, they have a hard time installing midi drivers. Sometimes you will have to reinstall them before they are properly placed into the registry. This will also cause you to restart your PC several times.
You will also have to configure the midi settings on your keybord. If you don't set the channels properly, your computer will not recognise it. Check your manuals.
I hope this helps. I know midi can be a pain in the ass for us PC users.