I use the games port on my computer, with a standard midi cable... it works just fine (XP). I think that most problems people experience is down to particular settings in the computer... finding them is the trick
I had problems initially, until I found that on my BIOS settings there was a "Midi port" or some such disabled. I ticked it to enable it, and that solved my problem.
A USB interface may be handy, and it may even work if you can't use your gameport... but it shouldn't be necessary.