Midi to USB cable

howdy y'all
my m-audio is being returned to Germany as it's faulty.  i bought a cheap usb audio device to keep me going in the meantime but it has no midi ports.  So i bought a cheap 7 euro midi to usb cable on amazon so i could drive session drummer 2 directly from the midi trigger keyboard.  Alas, no a sound. Sonar X2 is what i am using and in the preferences screen, i have the following.  In the inputs section of the window  USB2.0 -MIDI
 
in the Outputs section i three items. USB2.0 -MIDI  , MIDIOUT2(USB2.0 -MIDI ) and microsoft GS wavetable synth.  Ive tried checking and unchecking the various boxes but no repsonse.  
 
My trigger keyboard only has one midi port and it is marked OUT.   The cable i bought has two midi connects. One is marked IN and the other OUT.  i have connecting both to the keyboard but no luck.  
 
i looked at the Inspector for session drummer and again tried various settings.  For inputs i have
A>  All Inputs which has a drop down list of MIDI OMNI, midi1, midi2 etc.
B> USB2.0 -MIDI which also has the same drop down list.
C> session Drummer2 whci again also has the same drop down list.
For Output i have
A> USB2.0 -MIDI
B> MIDIOUT2 (USB2.0 -MIDI)
C> Session drummer
Im trying all variations of the above but am my wits end.  Any ideas guys?
much obliged. 
 

Hi Mett
Input check :  No SD does not respond at all.  I've also added in Cakewalk Sound Centre and nothing responds.
Output check:  Yeah just to clarify what i mean Mett.  I use an M-Audio to record. It has standard guitar jack sockets and midi ports. The M-Audio works fine and i can use session drummer etc. But it wasnt picking up the mic very well when doing vocals and that's why it's being sent back.  So right now,I am using a cheaper audio device but it has no midi ports.    But yes it actually playing audio fine and i can record guitar and vocals (and play them back of course)
Operational check:  I've set these now to what you suggest but no joy.  When i use the laptops mouse and click on the drums in SD they work and i can hear sound.  But no joy with the midi keyboard.  I mailed Amazon about the cable i bought and they are sending me a replacement.  I'm hoping its just a faulty midi cable.
STOP PRESS: It's the darn cable.  Cancel the cavalry.  I just using this midi cable into a drum machine here and no joy.  Then tried a standard midi cable and the drum machine is working.   Sorry to have bothered you Mett but many thanks for the help :) 

Good tip re the ASIO or WDM .  I think the setting should be correct though because all other recordings and playback are fine.  Usually if you pick ASIO instead of WDM (or vice versa) you get no sound at all.   But good idea though.  Thanks :)
 
By the time i get this sorted my M-Audio audio device will been either repaired or replaced :)