On your audigy interface there are two five pin MIDI connectors... plus you should have recieved the reducers with the sound card.....
Hook up the audigy MIDI out to the MIDI in on the Alesis and MIDI out of the Alesis to the MIDI in of the audigy interface........ you can use the adapter in the above reply as well.... You need to select the MIDI in and out in Home studio..... to do this click ( in HS2 ) OPTION> MIDI DEVICES and choose the correct ins and outs.... use the help section of HS2 as well incase your version differs from what I am familiar with. The tutorials are a great resource to many problems