Yes, they can work but it's a matter of having your OS recognise that you've got a MIDI keyboard attatched to it.

Often just connecting the Casio keyboard to the game port is not enough, as your OS will not recognise it as a MIDI device. You may have to load drivers first. Look at the Casio web site for any possible driver files.

Alternatives

(1) Connecting the keyboard to the game port works (least likely scenario). Nothing else to be done. (you know it works because when you enter the MIDI in devices, you see your keyboard or it give you a choice to use the gameport MIDI keyboard etc)

(2) Connecting the keyboard to the game port does not work. (Most likely scenario).
Visit the Casio web site and hope you can find the correct drivers to recognise and install the keyboard.

(3) Connection the keyboard to the game port does not work and you can not find any drivers (Second most likely scenario)
In this case, you need a proper MIDI interface which will come with it's own driver files.
It can be a simple USB/firewire 1x1 MIDI port which will install in your OS. You can now connect your keyboard to the MIDI port via MIDI cables (note game port gets left alone).
Course the interfaces can be expensive.

update your midi driver for your soundcard thatll probly helpa lot it can be done ive done it before i just searched google fill i found a driver and updated drivers for my card that was built in to a sony vaoi computer so it can be done just might take searching

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Windows has a default MIDI driver that should work with most MPU-401 compatible MIDI ports (Thats the one built into most motherboards and sound cards). A Cable for this in the UK costs about £10, you're probably better off to buy one!!