Then there is not much to say, except
* are the 'instructions' Ours? : https://lmms.io/wiki/index.php?title=Using_MIDI
* Can you connect and play the keyboard with an other program?
* Are all drivers updated?
* Have you tried to shut everything down, and cold-boot your pc?
* What is your OS?
I hope an owner of that midiKB chimes in, and deliver the crucial tip!
Besides that, since you are new in Forum
Welcome Ghinder88 !
Here are all important links:
http://lmms.io/forum/viewtopic.php?f=1&t=4740
-A few rules and useful forum instructions