If you are trying to connect via midi make sure you set that up first. You can test by playing a midi (.mid or .rmi) and you should here it through your keyboard. If it's USB midi it will be easy to connect. If it's standard midi din cable; remember that the 'out' cord goes to the 'in' port of the keyboard and vica versa.
If you're just trying to record your keyboard, make sure you have it connected properly and use the record feature in Magix and then verify your correct audio interface is selected.