Midi is nothing more than musical information. It does not include any sound. It mearly tells your keyboard's internal sound library, or the computer, what sounds to play and when, how loud etc. If you want the sound you hear coming out of your keyboard into your computer, you cannot do that through midi. You have to connect an audio cable from the output of your keyboard to the input of your computer.
You can also connect the midi-out from your keyboard (probably a round plug with 5 holes, called a DIN-plug) to the joystick port of your computer with a special cable. But then you will only be able to transfer the midi data, not the sound itself. If windows plays a midi file, it only reads the musical information of the midi file. What you hear actually comes from a bank of sounds build into your soundcard or build into windows.
Hope that clears it up for ya.