I just got a Midi Cable, hooking up my keyboard to my sound port on my pc, any1 know what program i need to start it?

Your soundcard usually has a keyboard program to go with it. If not, buy a sequencer (Sonar, Fruityloops, Reason, Cubase...) and there you go ^_^

Just let your computer search for any hardware that haven't been installed yet.
if the cable has an installer, then use that.