MIDI-to-USB interface cables can be tricky, because some of the ones on the market are of cheap quality and can be quirky when it comes to transmitting the MIDI data correctly. What brand is it? If it's a well-known brand and wasn't dirt cheap like so many of the ones on the market, then it's probably reliable.
However, you need to make sure that the "MIDI In" connector of the interface is plugged into the "MIDI Out" port of the keyboard, and the "MIDI Out" connector of the interface is plugged into the "MIDI In" port of the keyboard.
Also, when using a MIDI-to-USB interface cable you often don't need to install a USB-MIDI driver, because most of these interfaces are MIDI class-compliant and don't need a USB-MIDI driver. But if it turns out that you do need to install a driver, you need the driver for the interface itself, not the driver from the keyboard manufacturer-- unless it so happens that the interface was manufactured by the same company that manufactured the keyboard. For example, if the interface was manufactured by Roland then you would need the appropriate driver from Roland, regardless of the fact that the keyboard was manufactured by Yamaha.