There are a number of steps you need to go through, but if your keyboard has USB, you don't need a USB-DIN connector.
1 Connect keyboard to computer via USB. Unless you need special drivers, your system should recognise it and set it up all by itself.
2 Open Reaper, go to Options/Preferences/Midi Devices where you shouold see the keyboard listed. If you see <disabled> against it, you need to right click on it and enable it. If you don't see it listed, then something has gone amiss and requires further investigiation. You need to enable it as both an input and out device.
3 To record midi you need to arm a track, and select the input source as being midi and yor keyboard (or simply select all midi).
4 To use the midi to go back to your keyboard and play its internal sounds, you need to go to the routing panel and under where it says "midi harware output", select the keyboard.
5 If you then want to capture the keyboard's audio, connect its line out to the focusrite, create a new track in Reaper, arm it to record and select the focusrtie as input.