I'll see if I can give you a good explanation:
MIDI is short for Musical Instrument Digital Interface, and is is pretty much like a digital sheetmusic paper.
A sheetmusic paper will not make any sound in itself, you need to pick up an instrument and play what the paper says.
Same goes for MIDI, a MIDI controller will sends signals telling the receiver what to play, it won't be making any sound by itself.
The receiver could be either a sound module, which does basicly the opposite; it cannot decide what to play, but has to be given orders via MIDI. However, it can produce the sounds, and make you hear what you play.
Or it can be another keyboard. Some keyboards (I guess mostly the more expensive ones) have a MIDI IN port, so that you could use the keyboard itself as a sound module, using that keyboards sound, but with another keyboard. Let's give an example to when that might be of use:
You have one keyboard currently, where you have some reaally nice sounds that you really like. Suddenly you find yourself in need of using 2 sounds at once (i.ex Strings and a Lead sound), which both might require too many keys to be able to simply split the keyboard in half. You realize that you will need to get one more keyboard to make it happen, but you still really want to have that fat lead sound of yours on the other keyboard.
Instead of buying one more keyboard of the very same model that you have, and then having to recreate the lead sound again from scratch (which would be a waste of both time and money), you just go and buy a really cheap MIDI controller, and connect it to your current keyboard, assigning the MIDI channels so that your new cheap controller will have the lead sound on all keys, and your other keyboard will have the strings on all keys.
I felt that this explanation turned a little fuzzy at times, due to my lack of english knowledge ^^. Hope it made you understand
EDIT: the Roland AX-synth is currently on €1015 in Europe ($1451), haven't found the US price yet.