magnaman:
Two years ago my sibs gave me a PSR-270 (the precurser to your keyboard), with exactly the same result! I still have it...of course, I also now have mountains of other stuff. However, as a first MIDI instrument, that keyboard will do quite a lot!

If you're using the standard game port connection, make sure that "In" on your keyboard is connected to "Out" on your computer. I made that same mistake, and have since corrected it for a dozen or so other newbies. I'd get a nice book on MIDI, or use the tutorials at http://www.harmony-central.com/MIDI/ (rattley's links send you there). You don't need a lot of knowledge of the technical aspects of MIDI to get your Yamaha to produce, but it'll help when you decide to move further along.

If you don't already have any, you'll also need some sort of sequencing software...which depends on what you know about music in general. I'm an old traditional musician who reads and writes using notes on a staff, so I started with Noteworthy Composer (http://www.noteworthysoftware.com/). One of the less expensive Cakewalk packages will allow "piano scroll" composing, which is a little easier for folks who have more playing than reading chops.

Have fun, and good luck!