The joystick MIDI connector is only good if your onboard audio is nice enough to HAVE a joystick port.
Mine doesn't.
You're either going to need a new sound card (with joystick/MIDI port) or a USB MIDI adapter. Use this as your chance to get that new sound card.
What synth/keyboard are you hooking up? You might appreciate the SB Live/Audigy/AudigyII's ability to use SoundFonts and give you a pretty decent little synthesizer for your composing pleasure. If you don't already have something better.