Help with setting up MIDI-USB connection
 

So, I'm trying to make a connection between my computer (specifically to FL Studio) and my Keyboard. However since I have never done something like this before I'm not sure what's going wrong.

The MIDI-USB cable has 3 lights. Blue for USB side, Green for Keyboard/side and Red between those two. I can only get the blue one on. The MIDI-USB cable that I have is Prodipe MIDI USB 1IN/1OUT and the Keyboard is Yamaha P-35B.