Either your audio card has to have midi inputs on it or the keyboard you are using has to be a USB connected midi device for the software to see midi inputs.
When you start the program, it scans the computer to see what audio and midi inputs are available to it. If there are none connected, you will get that message.
If you are 100% positive that you do have midi inputs connected..... follow Greg's advice on getting the correct drivers.
Most folks here are using external music interfaces. If the card you have is internal and or factory, you might want to consider an upgrade to a musical interface that connects via USB and runs ASIO drivers and not wrappers or codecs.