SC-33 is a Module isn't it?
I have the DR-330 (BOSS) which is the exact same thing as the SC-33 only has the BOSS on it rather than Roland.
Its been ages since I used it, but you need to hook it up to a controller. I have used it with cakewalk and with other keyboard sequencers in the past.
You need to hook ur midi's to the computer serial port, and u should be able to use cakewalk.
hope that helps
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Samer