Yeah, you'll need midi cables that have "ends" that look like this:
![](http://www.connectworld.net/cis/5PDM_5PDMbig.jpg)
You can even get cables with a direct connection to the PC without needing a USB interface. Like...
![](http://www.planet-elektronik.de/prods/1/5914.jpg)
But I'm with ddw4e, I prefer USB interface. I've used one of these before & does a decent job:
![](http://www.midi-classics.com/i/p13977.jpg)
As for free midi recording software I think you can give Audacity a go... But don't quote me on that.