I would recommend checking things out in a step-by-step manner:
(1) Verify that the keyboard is actually transmitting MIDI data. A simple test for this is to connect one end of a standard MIDI cable to the keyboard's MIDI Out port and the other end to its MIDI In port, so the keyboard can send MIDI messages to itself. A 1-foot MIDI cable is ideal for this, and would be a good investment even if you've already got a longer MIDI cable, because sending MIDI messages from the keyboard to itself sometimes allows you to do things that can't be done using the keyboard's panel controls. Next, turn off the keyboard's Local Control, which controls whether the keyboard will generate sounds when you play on its keys (Local Control On), or whether it will generate sounds only in response to MIDI messages (Local Control Off). You might also need to select which MIDI channel(s) you want the keyboard to transmit and receive. Once you've got things set up, play on the keys and see if the keyboard produces sounds. If it does, it's transmitting MIDI data. To verify that it's the MIDI data causing the sounds to be generated, unplug either end of the MIDI cable and see if the keyboard still produces sounds when you play on its keys.
(2) Verify that the computer can detect the keyboard. Use a MIDI-to-USB interface to connect the keyboard to the computer. Alternatively, use standard MIDI cables to connect the keyboard to the MIDI ports of an audio interface, then connect the audio interface to the computer. As Gary/happyrat1 noted, make sure you connect the MIDI Out port of the keyboard to the MIDI In port of the interface, and the MIDI In port of the keyboard to the MIDI Out port of the interface-- i.e., the MIDI data that comes out of the keyboard should go into the interface, and likewise the MIDI data that comes out of the interface should go into the keyboard. Also, turn on the keyboard after it's connected to the computer, not before. Then go to wherever your computer's operating system displays the hardware devices that are connected, and make sure the keyboard (or rather, the interface) is being detected.
(3) Verify that the correct MIDI data is being received. Use a simple MIDI monitor utility to see what MIDI events are coming into the computer. Make sure the utility isn't set to filter out any types of MIDI events. You should see something like a steady stream of MIDI Clock messages (F8), with an Active Sensing message (FE) occurring less frequently. If you see a steady stream of two other messages instead, there could be a problem with one or more data bits in the messages-- e.g., a given bit might be always on when it shouldn't be, or always off when it shouldn't be, which could indicate a problem with the cable, in which case you should try using a different cable.
(4) Verify that the MIDI In port is set up correctly in the DAW. Some DAWs will automatically detect whatever MIDI devices are connected to the computer, and will let you use them just by selecting them from the list of detected devices. Other DAWs might detect the MIDI devices which are connected but require you to create a setup for a device and attach it to the appropriate MIDI In and/or MIDI Out ports before you can use that device (e.g., PreSonus Studio One is like that). Another issue to be aware of it that some DAWs might not detect a device if you connect it and turn it on after you've started up the DAW, so you should make a habit of always connecting your devices first, then turning them on-- possibly waiting a bit for all of the devices to finish powering up (some keyboards and synths might take a while to finish "booting up")-- and only then starting up your DAW.
As far as troubleshooting possible issues during steps 2 and 3, there are a few things to be aware of:
(a) Some MIDI-to-USB interfaces appear to be cheap, unreliable trash. Sometimes when you shop around for the "best bargain"-- i.e., the lowest price-- you end up with something that turns out to be a complete waste of money. Furthermore, it appears that certain brands of keyboards (e.g., Yamaha) might require an interface from that same manufacturer for best results, presumably related to a USB-MIDI driver that must be installed for that MIDI-to-USB interface.
(b) If indeed a specific driver is needed (as opposed to the drivers supplied by the computer's operating system), make sure you install the correct driver for your operating system-- e.g., Windows versus Mac, or 32-bit versus 64-bit. And even if the MIDI-to-USB interface came with a CD containing driver software, make sure you go to the company's web site to get the latest version of the driver that's required for your operating system. Furthermore, make sure you follow the instructions on how to install the driver-- e.g., when installing a Yamaha USB-MIDI driver you must connect the keyboard to the computer and turn it on before you try to install the driver, so the driver can detect the keyboard.
(c) Unless otherwise specified by the instructions for the MIDI-to-USB interface, make sure you plug its USB connector into a USB 2.0 port rather than a USB 3.0 port.
