MIDI - Yamaha keyboard, Roland Edirol USB Interface, Netbook, Sonar 8 Producer

I've tried doing this before by following the manual and I just got myself more frustrated than it was worth!  I'd like some help, but couldn't find any previous posts with helpful information for this particular case.  I hope this isn't a re-post, if so please bear with me. 

I am completely new to MIDI, just got another cable so I can try it again because I wish to record phantom powered condenser mic and keyboard at the same time.  I understand I can't do that via analog, which is what I was trying before.  So, MIDI it is. 

I create a new MIDI track, hit record, and play.  I have both input and output set to the Edirol UA-4FX USB interface, and have head phones hooked into the interface.   Can't hear anything during recording, or playback, though I can see the notes being picked up in the track. 

I unplugged the analog input since that interferes with the phantom powered mic. I hope that isn't what's causing this problem. 

What am I missing? 

Thank you.

Well I go on holidays and everyone here is on strike or something.. Trouble is the majority have upgraded to X1 so not as many of die hards left. If you read the tutorials you'll see the very first thing you need to do is insert a Soft synth. Otherwise there is no sound. go to insert/soft synth and start with the TTS-1 as it is a simple GM synth. Make sure the MIDI track you are recording shows it's output as TTS-1. It would take me a week of typing to go into details so either read the help files of watch one of the videos.