Hmm well the thing is, a MIDI cable will only transfer midi information, not actually audio, so if you're wanting to edit samples from your keyboard onto the computer you're going to have to record them via audio onto the computer, is this what you mean?
The other method is to record the midi information via a sequencer, then play back the midi through your keyboard, and record the resulting outputted audio back into your computer, either way if you're wanting to record the actual sounds from your keyboard and not those you may or may not have on your computer; you're going to need an audio interface of some kind.
Regardless, you'll need a MIDI cable with a midi in/midi out connector, unless you have a soundcard with midi in/out sockets you'll need one with a gameport type connector (usually used for joysticks).