Are you trying to use MIDI to capture sound–because MIDI does not do that. MIDI sends no sound data. None. Just checking here, and forgive me if you know that and I just misinterpreted this.
At any rate, it still seems that, given the status of the lights, the MIDI cable isn’t connected properly or recognized by the computer. Another stupid question: are you sure the two MIDI cables that connect to your keyboard are connected right? I don’t know how those are marked, but usually IN goes to OUT and OUT goes to IN, not IN to IN and OUT to OUT (I have seen people make this mistake.)
Have you tried plugging it into a different USB port? Are you plugging directly into the computer, or are you connecting to a hub?