as long as the korg sp 500 has got midi in and out, you can use a midi to usb interface/cable to connect the synth to computer.
To use it as a midi controller, just have to turn the synth internal sound engine off (local "off"). Pressing the keys now will send only midi data. Within the computer/soft synth, set it to receive this midi data, it will be triggering the sound from soft synth instead.
Theres a page in the sp500 manual(available from korg site) that mentioned bout turning local off. Check over there for more info.