The biggest problem I had was finding the correct driver. For 64-bit windows, sometimes the older keyboard drivers are hard to find. Often though for Linux these "just work".
But yes, MIDI with USB keyboards works great. Please post your configuration of keyboard and OS and let us know how far you get.
If you are unsuccessful, some USB MIDI keyboards also have the old circular plugs. I got an adapter for my keyboard for $3 on amazon which was still USB but used the round plugs on the back of the keyboard instead.