First I think you need to Google up some MIDI info so you understand just what it does.
However, if all you want to do is record the SOUNDS that you make with your keyboard then yes, just connect it`s Line Out, if it has one, or the headphone out to the Line In of your soundcard.
If this is your card
http://www.pcper.com/article.php?aid=200&type=expert&pid=1 then yes, it does have a LINE IN socket. This will be stereo and will happily take a cable from your keyboad headphone out, but please keep the levels down at the keyboard.
For recording you can used the bundled AUDACITY software or you could try KRISTAL. Both are Freeware tho KRISTAL lends itself better to multitrack recording but doesn`t handle plug ins.
Now, MIDI.
Your card does not have a joystick port so you don`t have the "usual" MIDI interface, which I suppose is why you bought the MIDISport.
You`ll connect the MIDISport cable from your keyboard MIDI OUT to the USB on your PC..... and from here is where I can`t help you in any precise way because ..
There may be a setting on your keyboard to initialise MIDI and configure it..... the manual will tell you. And there will be a way to tell Windows and your software to expect MIDI via USB... again, I don`t know how that will be done. I have only used MIDI through the joystick port and then rerouted out to an external sound module, which brings me to my last point..
IF you get your MIDI set up to record INTO your PC, all you will be "recording" (bad term that) will be instructions to the soundcard. Each instruction will say to it something like;
"Play C3 now, play it this loud and this hard for this length of time, and play it on a piano (or whatever instrument you have chosen)..... and stop playing it... NOW! "
There will also be instructions for effects, modulation, aftertouch and other stuff.
Let`s say you record a 64-bar sequence... you will find that the resulting file is only a few KiloBytes... that`s because it`s not audio, it`s just a list of instructions and can even be read in Notepad.
Now you want to play it back.... you tell your software to Open the file and Play it, but Windows and your software need to know what to do with it...... play it with the soundcard`s onboard instrument sounds? Nowadays they`re not bad at all but probably won`t be as good as your keyboard.
Or play the sounds using your keyboard? To do this you now need to hook up your keyboard`s MIDI IN to the USB (but you probably already did that).
Press Play and hope that the information now reaches your instrument.
I`d recommend Cakewalk Express for MIDI use as it`s a nice compact program which has been around a long time and will be more than adequate for all but the most demanding use. And the Help file is pretty good. I *think* it`s free nowadays but I could be wrong.
Hope this has been helpful.
Good luck with your music.