COMPLETE Newbie here.

A MIDI-to-USB connector and a Cakewalk program will make it easy to get into computer recording. An audio interface designed for recording will make it easy to reproduce the sound you hear in your head, without worrying about latency or dropouts.
If you want to go that route, and audio interface with MIDI connections eliminates the need for the MIDI-to-USB connector.

Wow... Thank you guys for such a quick and excellent response! Which software do you suggest I start with if I'm thinking of routing the midi back and using the audio cables.  Will Music Creator do that? Or should I go with Sonar and a soft synth?

I agree. Get MC5 form a local store (box version for $40) since it has many more instrument sounds in it than the download version. Also buy a nice audio/midi interface from a music store..... M-Audio, Focusrite, etc.

As has been commented on above, the interface allows you to "do it right" and basically eliminates many of the problems with dropouts and latency.

In addition, a decent interface will incorporate midi connectors so you can use a midi to midi cable to get the midi into MC5. Setup is relatively easy and that will allow you to start recording. The interface also gives audio inputs for guitar/bass/mics.   Be sure to get an interface with nice preamps, and you will NOT need to use any sort of mixer board.

I do all my music on MC4...(earlier version before MC5)

I use a midi keyboard and ONE midi cable... out of the keyboard and into my interface (into MC4/5)

I never send it back to the keyboard.... I always use the soft synths inside MC and use a mid patch or more likely, a sample to get the sound.... the options are so numerous and they sound so good..... I would not think of using the internal audio in the keyboard.