hooking up keyboard via MIDI

I just got a MIDI cable to use with my Alesis Micron. I put the one end in the MIDI/gameport on my Audigy LS and the in/out cables into the in/out on the MIcron, as the maunal says to do. But nothing came up on the computer and Fl Studio doesn't detect it, so what gives? I've searched for an hour for help and I can't find anything.