I recently downloaded a program called TRUEPIANOS, and that thing sounds amazing. It's a virtual piano, and although I'm not sure if that's exactly what you're looking for, you can connect a midi keyboard to your computer via a midi cable and play it that way, simply recording your sound-card's audio in a basic recording program.
I use Sonar 7, which allows me to create midi tracks, so when I'm playing TruePianos as a plugin (vsti), I can set the midi track to record the notes I'm playing, and it records all the data, including the velocity. Afterwards, if I want to edit the notes, maybe change velocity data or timing, I can do it straight in the midi editor of the notes that have been recorded.
If that's something like what you're interested in, you simply need the virtual piano, midi keyboard and cable, and a software program that provides midi recording/editing options.
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