Right - that was ONE of the questions I wanted to ask.
As OP has given so little information, I've had a quick look via google about the items mentioned, although I know nothing about any of them.
The keyboard controller is referred to as using USB connection, but it MAY have standard midi as well.
No idea what sort of computer/OS is being used here. If computer had USB connection, that I might GUESS that OP is using USB.
From info about Finale and Reason, I'd suspect that the latter is more complicated, and seems aimed towards it's own 'virtual' input devices, so I be inclined to recommend that OP tries to get things working with Finale.
OP says that 'It don't work'. Hm, HELPFULL'
Does the computer see the keyboard as a connected device. Is the keyboard added to the midi standard input?
I understand that later versions of WinDoze don't handle the midi device table as well/helpfully as, say XP does. There is an expra piece of software that can be used to help this.
Does Finale recognise the keyboard, is Finale set to receive midi from the said midi standard input?
Does Finale respond in ANY way at all to the keyboard? Maybe it does receive something, but does NOT respond with any sounds?
I'll hold off on any more questons until the position is clearer.