Hi, iPaxy. Sorry for the late reply. I don't actually use a MIDI keyboard to make music, although I'm planning to get one. I just use the software's built-in virtual keyboard to mess around, and the sequencer to program the notes.
As for the software itself, I used to use ZynAddSubFX and Seq24 to create music. Both are Linux programs. As of now, I have switched to another program called LMMS - Linux MultiMedia Studio.
It's a free complete digital audio workstation, which includes synthesizer (and drum) plugins, song track editor, VST support, and quite an impressive library of sound samples. ZynAddSubFX is also included as one of the synthesizer plugins. The program is quite good; I recommended it, although it has certain usability issues. Bugs, I guess.
If you're looking for commercial audio workstations, I heard FruityLoops is pretty popular. I haven't exactly tried it before, so I'm not sure if it's good, but based on reviews, I guess it's pretty good.
Good luck with the music making!