No you don't need MIDI Thru to connect to your PC. You will simply connect the MIDI Out from the keyboard to the MIDI In on the PC and vice versa.

MIDI Thru is only required for daisy chaining MIDI devices together. This is if you want to send MIDI from your PC to a MIDI device ( such as a keyboard or module And then out again to a second device ( module or keyboard ) and so on. But as this is not what you are wanting to do don't worry about it.