How nice is that module? I never heard of it, but I'm guessin that you have a soundcard and cables since you have the right gear.
I'm just telling you the way I got my equipment set up, I have basically what you have.
1. Hook the MIDI controller USB to the computer so you can control other things besides just the module if you were to connect it directly to the module
2. Hook the MIDI IN from the module to the MIDI OUT of the soundcard.
3. Hook your audio outputs to your audio ins in your soundcard.
Sorry I was a little late on the post, I had to go eat dinner half way through it.
You could just get a soundcard that has MIDI IN/OUT like the EMU 1212m. It's pretty nice for it's price.