Sound:
Take audio cable, plug one end into the keyboard output, plug second end into PC / Sound Card AUX input or LINE input (Or, if you have a really shitty soundcard, the eeep... mic input.) You may need to buy the right cables to do that, go to raido shack or something and tell them what kind of connectors you got on the keys and pc.
You probably need a something like a 'Y' cable with 2 1/4 inch phono ins (which plugs into the keyboard outputs), that gets merged to one 1/8 inch stereo out ($3.99 at raido shack).
Midi:
Take midi cable, plug one end into keyboard midi in, plug second end into PC / Soundcard midi out.
If your keyboard dosent have a midi in, buy another one... same deal with your soundcard. Some soundcards require special adapters (like the SB live), they should come with the card.
Might also be possible to run midi through your serial or joystick port, if your soundcard wont do it. I havent had to do that for years, but I do know it will require you to buy a cable / adaptor. You will probably need to buy software or download someting of futz with windows to get it to run.
Windows:
Open the windows mixer (volume control thingy.) Find the slider that controls the volume level of the audio input that you plugged the keyboard into. Raise it and make sure that the little 'mute; checkbox is not checked.
Now if you have a 99$ keyboard and a 19$ soundcard, you probably will not have the features (midi support, audio ins and outs) that you need. As with everything else in theis game... you can do only as much as your wallet lets you.