Vvanrij,
not quite - if the keyboard is connected via USB then it is best to connect the computer to the synth and leave the keyboard connected via USB.
Otherwise the sequencer will play the synth via the keyboard = added latency and unecessary
Lukas, Onkel Dunkel was being daft about the MIDI cables
although he and the others are quite right about the MIDI interface...
What keyboard are you using? If you are using a USB keyboard then just connect your computer to the synth and allow MIDI thru the sequencer.
If you have no USB then ideally you will need a MIDI interface. Let us know the controller keyboard you use.
Drammy