Generally with most DAW software when you set up the connections to an AI (and assuming the MIDI kbd is plugged into the AI) you will see what to use as Audio In and Audio Out and what to use as MIDI in, in this case the AI (e.g. my PCI cards would show as "Delta MIDI or some such ***t).
Since there is no MIDI "output" until you get one, most setups default to "Microsoft Wave Table Synth" and this is good(ish!) because it usually works and give you a basic piano (sort of!) sound...
"Ish" because the sounds are pretty rough and the latency generally high and setting lower buffers usually does not help. But hey! Wadaya want for nuffin!?
For a really unfussy MIDI app' download the demo of Modartt Pianoteq. It stops after 20mins and 3 notes don't work but it is a very nice piano sound and a very handy test "tool".