Dude coloured holes on the soundcard are actually the audio inputs and outputs, and not for midi. There should be a port, looks something like a hexagonal shaped connector with lots of holes. This is actually the joyport ( heheheheh ), but it depends entirely on the soundcard you got. If you don't have that then you might want to get a usb-midi cable instead. Oh if you're using the onboard soundcard, i.e. it's built into the motherboard, then you might need to enable the serial port for midi in your bios.
Anyhow try out mackie's traktion instead of the cakewalk products first because that's free and does audio, midi and vsts.