Before Win 7 came to existence we didn't have much to worry about MIDI connection between digital piano/keyboards and our computers.
Now everything is different.
Guys, be aware! If you have Win 7, it won't connect to your USB keyboard! In order to make PC Win 7 and USB keyboard to connect, go to the piano manufacturer site and update your piano driver for Win 7, if... they have such driver (apparently, Yamaha do! Hooray!)
If you have a keyboard/piano with MIDI IN and OUT - get M-Audio interface (they have place to upgrade drivers for Win 7)
In our store we currently offer interfaces that work for Vista and XP, but planning to get M-Audio in the closest future.
So, I think, the best solution here is... to have Win XP and avoid Win 7. In the perfect world
If you lucky to have Win 7, DRIVER is the word to handle any technical issue with connection (if accured)