I'm guessing you changed from something like a SoundBlaster to something like an Audiophile. Only consumer cards have MIDI synth chips on them, and your new and better card probably does not. So there is nothing to respond to MIDI messages with an actual sound.
The Virtual Keyboard will do nothing for you, it's a software MIDI input device.
Depending on what your recording software is, your best bet (and one you might even already have all you need set up) is to use a soft synth. You mentioned Cakewalk. Which product of theirs do you have? Most of them come with at least one or two DXi instruments, one of them the Roland Virtual Sound Canvas. Read your manual.
If you have Pro Audio 9 or something earlier, you can probably use the Microsoft Wavetable Synth, but it won't work very well and you won't be able to play it in real time.