cables.

My keyboard sales guy (brother-in-law)told me the best way to hook up was through the midi cables and not the comp cable. Now I am having trouble. From cakewalk to the kn is fien and playback is good but I can't record. It seems like some of the keys sustain forever and sometimes it records and sometimes it doesn't. I have the kn switched to midi in back. When I open a new project I use the normal setting insted of the midi only. I have tried the other settings and haven't gotten any results. I have a sound blaster PCI (?) card. Any help will be greatly appreciated.
John