OK. Correction. It depends on where you want the sound to come from.
Keyboard out -> soundcard in will be necessary to record midi signals. This will be sufficient if you want sounds to come from your computer.
If you want the sound to come from your Triton LE, then of course you will need soundcard out -> keyboard in for the sequencer to drive the keyboard.
That is, you´ll need 2 midi cables, one from the keyboard to the soundcard to record midi, one from the soundcard to the keyboard to play it.
If you want serious sequencing, perhaps it is better to get a soundcard with midi in and out rather than a joystick port. I´m not sure if the Audigy DE gives you both in and out through the optional joystick midi port.
If it still fails, then you´ll need to check your settings in your sequencer. I´m not familiar with Anvil Studio. As a freeware, it does seem to be pretty good for starters. You may have to contact their technical support. Check your sequencers´s midi ports to see if you have midi ins and outs. If you only have midi in port, then your soundcard cannot drive an external sound source. Either change a soundcard or get a midi interface (the latter comes in serial/parallel or USB versions).