1. What interface are you using?
2. PC specs?
3. What are you triggering with the midi notes? If you are routing the midi data BACK to your keyboard from the computer, then there is a pretty good chance you are triggering the note TWICE. If you have the option, you need to turn the "local control" off on your keyboard. What happens is that you hit the key, which triggers the note like it's supposed to. But wait! then the midi data pertaining to that note shoots through your computer's circuitry which sends it right back to the keyboard: again triggering the same note, only a few milliseconds later (depending on the latency of your setup).
Of course, that's one possibility.
If you are triggering GM (general midi sounds: the ones included with windows) then it's probably a latency issue. Here's a test - if you are listening to the audio from your PC's soundcard, then it is the latency thing I just mentioned. If you are listening to the audio from your keyboard's outputs, then it is probably number 3 up there.
Let me know if that helps...
Trog