Connecting a Yamaha YDP223 digital piano... How?

I'm trying - for the first time - to connect my MacBook Air (MBA) to my Yamaha piano, but can't quite figure it out and need help.

I've hooked up the midi cable to the USB in the MBA, and plugged the "in" cable to the "in" jack and the "out" cable to the "out" jack. I can see there's some connectivity, as I get a little blue light in the "measure" window (bottom center in GB) every time it hit a key on the piano. But that's it... I can't get notes I play on the piano to appear on the score in GB, nor can I get music playing in GB to come through the piano's speakers.

I'm pretty sure I have the function settings on the piano correct, although the manual's pretty obscure. Is there something I'm missing? Do I have to do something on the MBA or GB to make this work? I'm using OS 10.6.7.

Thanks in advance.