Do you mean the Roland E-09 or another Roland product? You need a MIDI to USB In/Out converter. Make sure that the converter is supported by the manufacturer with your OS version. One example is
https://www.amazon.com/Converter-LiDiVi-Professional-Keyboard-Adapter/dp/B071KLC884 . This is a USB 2.0 device that works with Windows XP through Windows 10 and Mac OS X. A few others are reviewed here:
https://www.musicrepo.com/best-selling-midi-interfaces-the-ultimate-top-10/ . You may need to be connected to the internet and allow your computer to obtain drivers for other devices. Connect the cable appropriately. Turn on the Roland device and make sure that your OS sees the USB device before launching your software. Note: Audacity can only import a MIDI file as a Note Track, https://wiki.audacityteam.org/wiki/Midi . You'll need additional software to capture the MIDI from the device. Some options are listed at the bottom of the Wiki page above. You may need to try several options to find a program that you like.
The Roland E-09 manual is available here:
https://www.roland.com/us/support/by_product/e-09/owners_manuals/ . Other Roland support is available here:
https://www.roland.com/us/support/ .
I hope this helps. I'm not familiar with FL Studio's menu. I haven't used Audacity's MIDI features. I use the software to digitize audio from Line In and microphone.
Cindy Wells