Hi, I'm using MIDI to USB cable like this
http://www.emu.com/products/product.asp?category=610&subcategory=611&product=15188Works like charm on both Windows and Linux (didn't try on Mac as I don't have one).
(had to use that because my soundcard didn't had a gameport and my previous cable was MIDI to gameport...)
And how to run it on Linux ? Well, ALSA (the sound driver set for Linux) should have a usb-midi kernel module (should autoload) and then you could connect the ALSA MIDI ports the right way.
If unsure on what you have connected on your USB host then type "lsusb" in your terminal.
The standard program for this is "aconnect", here's a link
http://alsa.opensrc.org/AconnectThere are friendlier GUI programs for this, but I've forgot how they were called ;-P
Cheers!