Midi Sequencing problem with PSR-620

I have Yamaha PSR-620 & PSS-51 keyboards.
I have a computer with Creative Sound Blaster SBPCI64 sound card. I tried connecting my keyboards through a Midi Cable to my computer. I use CakeWalk Pro Audio 7.0.

I am able to receive data from the computer to the keyboard & I can even listen to the Midi Files properly.However,I am not able to RECORD any Midi Data from my keyboards to the computer in softwares like Cakewalk Pro Audio 7 , Winjammer and SoundForge. I have observed that in Cakewalk some kind of data seems to be received but I cannot play it back neither I can see any notes in the staff.
And when I record in Winjammer it says "Invalid Midi Data was received an Ignored."

When I tried the same procedure by using Yamaha Sound Card (YAMAHA OPL3 Sound System)
I found that my keyboard PSS-51 works properly both ways (ie. form Keyboard to the computer and form computer to the keyboard)
But my keyboard Yamaha PSR-620 works only one way (form computer to the keyboard).
I have even tried re-installing drivers and checked for device conflicts but couldn't find any solution.

This is quite frustrating for me.

I'll be greatful if anyone can give a solution to this problem since I am very eager to use my PSR-620 for MIDI Sequencing .

Thank You

Possible solutions:
1) Go to the "Overall" menu of your PSR-620. With the cursor-keys, go to "KeybOut" and switch this to "on".
2) Go to the MIDI-Setup in Cakewalk. Activate the MIDI-In port. (Like MIDI-In or something).