Things to check:
1-how is the keyboard connected to the computer(USB or midi cables)?
2-have you done the setup in Pro Tools? You don't mention if you are on Windows or Mac(see why information is important
). For Windows users, open Setup>Mid>MidiStudio. In that window you need to create a new "instrument". Name it whatever makes sense for you(brand and model are not required). The crucial setting is the Input path(where PT will "look for" incoming midi data). With a USB connection its probably something like "Kurzweil SP6 USB[Emulated]". With midi cables, it would be whatever those midi cables connect to(such as a USB-Midi interface, or the midi ports on your audio interface, which you also never mentioned)
3-The Output path will also need to be set if you want to trigger sounds from the keyboard(of course, that will also require connecting the audio outputs of the keyboard to your interface).