It was already asked here some time ago, and the accepted answer was Cakewalk by BandLab, which is a free product, like a free beer. It is not extremely complex, but I would not say that it is "simple" either. It has a lot more functionality than MIDI recording.

Another software that I know is MidiEditor, which is free software (open source). It is simpler than Cakewalk, but there should be probably something else more simpler.

If you were using Linux instead of Windows, I would say that arecordmidi is the simplest, but I dont know anything equivalent for Windows.

I'll take a look at Cakewalk but, in the meantime, I have looked at MidiEditor and I can't hear the music as I'm recording unless I also have Ableton open. Is there a way to use MidiEditor instead?

Remember, Ableton is free too as it came with the keyboard. I'm looking for simplicity.

You need a MIDI Synthesizer to produce sound from the MIDI events played at a MIDI Controller (your Keystation). Ableton comes with his own synth plugins, which can't be used by MidiEditor, so you need a standalone MIDI Synth. Windows comes with one, the "Microsoft GS Wavetable Synth" which is very low quality but is free in the same sense as your Ableton: it comes with your Windows. There are other better synths (also gratis) like the Virtual MIDI Synth by CoolSoft that you may want to try.

Anyway, you need to read across the MidiEditor manual the "Setting Up" section. Check your Keystation under the "MIDI Input" and your Synth under the "MIDI Output" columns. Select the option "Connect Midi In/Out" as well, and you should be able to listen the synth while you play your controller.

Unfortunately, I cannot check those boxes in MidiEditor. As per the attached midieditor.jpg, in the output section, I see 3 checkboxes that all look the same but I can only click one of them. In the inputs section, there are 2 boxes but I can't click either of them.