You mean that little keyboard you can play by clicking keys with the mouse? Is there any way to do that without it sounding really slow and fake?
when that little keyboard pops up, click the "A" key symbol.
The window will stretch out and allow you to press the keys on your keyboard (the computer keyboard). The blue area on the board at the top is the section (or I think octave) you are currently viewing, and you can move that around.
The different letters on your keyboard will correspond with what key you would hit on an actual keyboard.
I usually use this feature for making my own drum loops. If you really want to hook up your MIDI controller or MIDI capable keyboard, you can buy MIDI cables cheap at local electronic stores, Radio Shack, Best Buy, Circuit City, etc etc.
*note*
You can control note pitch, modulation, Tab key for sustain, control the octave and key velocity as well.