First of all I would like to say that make sure the distance between your MIDI device and your PC is under 3 meters, as I ended up rearranging my room so that it would reach. (Literally, everything has moved, although it looks much better now!)
Moving on...I looked at various different USB to MIDI cables and made sure I talked to various people in the know beforehand, but settled on this particular item in the end. I wanted to use it on my Electronic Drum kit (Alesis DM5) so that I could easily record the drum tracks I wanted and edit them on the PC if necessary, instead of taking loads of attempts via audio. The thing with Drum Modules and MIDI is that there is often a lot of 'latency' (basically lag between the connections) and this is the one real problem I was worried about.
However, I almost jumped for joy when I plugged it in, waited the 4 or so seconds for the driver to automatically install, and found out there was no latency at all!
Now I am happily recording away, still thinking about the possibilities of the USB MIDI cable. Remember that these aren't just for keyboards, and can in fact work with any MIDI controller.
Oh, and if you were wondering what other kit I use to record, or could recommend, it would be a Line6 Toneport UX2, Ableton Live and an Ibanez electric guitar.