Yeah you'll need the cable with a joystick input at one end and at the other end is two parts: MIDI In and MIDI Out.
Hook up the joystick end to the back of your computer where the joystick port is and hook up the MIDI In to the MIDI Out of your keyboard, then hook up the MIDI Out to the MIDI In of your keyboard.
By doing that, you can send and receive MIDI between your keyboard and soundcard. If you had just a MIDI controller keyboard, then it would only have a MIDI Out port. That's because a MIDI controller keyboard only controls MIDI files from a soundcard or software, or a sound module. But if you have a regular keyboard, then you should have MIDI In and MIDI Out on it.
MIDI Out of your keyboard will send messages, and MIDI In will receive messages from your soundcard. Meaning, if you record what you're playing into a software program with MIDI, then when you go to play your performance back on your computer, it will trigger your keyboard to play the sounds back.
It all sounds confusing, but it really isn't. Like I said, get it hooked up right, and then it will much easier for you to understand, and easier for me to help you out.