midi cable is for data communication betwenn midi instrument/equipment.
if you are using a PC with soundblaster soundcard, you can get a GamePort-to-Midi cable. Cheapest way to connect to computer.
If you are not using Desktop PC or you are using a intergrated soundcard that does not have the MIDI interface, you will then need to purchase an additional MIDI interface. The smaller ones come in USB.
Since you are using a Korg, you can find out more from City Music. They should have all the cables you need.