What Jans said. But, depending on what model you have, there may or may not be some sort of memory unit on it that allows you to import new sounds and patches from a computer. If not, you can't do that with midi. midi is just for transmitting triggering data, velocity data, time code, etc.
Anyway, Like Jans said, you could use the Keytar as a midi controller to control a software synthesizer on your laptop, and you'd just need a midi interface for the laptop and a midi cable between the interface and the Keytar, assuming it has a midi out port.
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