no it will work man, it's fine, especially if you are staritng to use MIDI.
you should see the midi port named "SB LIVE MIDI IN" or something like that... you choose this port in cakewalk as the default input port, and then you will control any track you select.
press REC and play some notes on the track in order to see if cakewalk is getting any data from the keyboard
also, make sure you plug the Keyboard OUT to the IN of the PC.
let me know if you got it to work