So basically what Porter means is that if you check Options -> MIDI Devices you'll see one device in the input section and 1 or 2 in the output section.
If you have 1 output, then your soundcard doesen't have an onboard synth. And if you have 2 outputs it probably does.
And basic MIDI let's only data go through the cables. You should hear the keyboard play, not your computer. If you want that, you can either use the sucky synth on the soundcard (if present), or only record it to disk using a audiocable connected to your synth and soundcard.