obg,
In your other post (titled grrrr) you said the drum machine has only a MIDI in. If you're expecting to record the MIDI data from the machine, well of course you cannot if there is no port for it to come out of and into the computer. If it has only MIDI in, it can only respond to incoming MIDI messages.
Re the comment about the Mackie not having a diagram for MIDI connection... maybe you are confused about what MIDI cables carry? There is no audio there. MIDI is a set of messages about the music -- no music itself. For example, it tells a synthesizer which note to play, for how long and with what velocity. Recording MIDI messages with a sequencer like Cakewalk is kind of like creating a player piano roll -- you record which notes are played when, but the sequence has no actual audio data stored in it. The only reason the Mackie might have a MIDI interface would be for MIDI Machine Control, which there might be on the top-of-the-line models but probably none of the sub-$1000 one.
-AlChuck