2 things... The midi cable is 'labled' from the computer's point if view, so the cable labled 'midi out' connects to the 'midi in' port on the Casio...then the other cable is easy
The other is...you need to select the correct 'path' for the midi data...this is found in the midi 'drivers'. you want the drivers that have the words 'in' and 'out' somewhere in their name.

Are you using a computer based music sequencer program, to play/record with?