If your operating system is Microsoft Windows, you gotta open the control panel and look for "audio settings" or "multimedia settings" or so (don't know how they named it in the english version
) In the upcomming dialog, click the "Audio"-tab. At the bottom of this tab there should be something like "MIDI-Playback". Select your soundcard's MIDI interface from the list and press ok. This tells Windows (by default) to send all the midi data to the interface of your soundcard and not to use the integrated (and really poor) software synthesizer or the wavetable chip.
A second common mistake is to muddle the two midi plugs (in&out). "Out"-plug must be connected with "In"-Port of your keyboard, and so on (guess you know that).