Usually, you either hook them up via USB or with a midi cable, from MIDI OUT on your keyboard to MIDI IN on your audio interface.
But usb should be okay. See about getting an ASIO driver. This is a driver for your soundcard with typically much less latency than what you otherwise find.
One might be installed already, so check Audio settings in your DAW and look for ASIO.
Edit:
Not sure what you DAW is, but here you can see how ASIO is chosen from the device list in Reaper.
If you were using DirectSound or WaveOut instead, you would get much more latency.
If you have no ASIO-driver, try googling ASIO4ALL.