Is your SB Live Gameport installed properly as a MPU-401 compatible device in Windows? You might have to look for drivers for that.
And btw, if you are using Windows 7 or Vista, you are out of luck. Microsoft killed support for MIDI/Gameports from Vista and onwards. You would have to get an USB-MIDI dongle, a Firewire interface with MIDI ports, or some other device like that. Which is kind of sad, because gameports usually have much less MIDI latency than the average USB dongle.
