So, I'll try to do my best, doing the support job of both your USB interface seller and/or manufacturer and E-mu
First part, the USB interface: if you're using Windows 7, Vista or XP, the MIDI interface part should be easy, just plug that USB cable to your laptop and wait for the OS to recognize it as a new interface and automatically install the drivers (net connection may be needed).
If it's Windows 2000 or below, you'll need to install a driver CD (or a download from the manufacturer site).
If by any chance, this USB interface isn't class compliant, then you'll need a driver no matter the OS version.
Now, the tricky part... E-mu Proteus keyboard: I've tried to find a manual on the web but wasn't sure what's the correct model, so if you can provide me a link to a user's manual I may be able to explain how to set it as a MIDI controller.
btw, is the USB interface a split (in/out) MIDI cable at one end or does it have a dual MIDI plug ? If so, you'll need to buy a generic MIDI cable to plug that into the MIDI keyboard.
EDIT: Is this your keyb?
E-mu Proteus MPS