right, a MIDI cable is just a cable .. a piece of wire. even a MIDI to PC cable, if it comes with "software" is only coming with an appropriate USB driver.. still no software, not like you're asking about..
you have to buy software -something like Cakewalk Home Studio, or Finale, or Sibelius, depends on what you are hoping to achieve.
You then connect your MIDI device (ie. your digital keyboard, drum machine, whatever) to your computer via a MIDI cable that you go and buy at the store.
and yes - this topic does not belong in the Performance area
-Paul