Hi, keep in mind that MIDI does not send any sound. It just sends binary messages that the receiving device needs to interpret and convert to sounds or control function such as volume, etc.
So once your Keyboard is recognized by your computer, (It should show as some sort of MIDI port in settings) you will need to use some sort of software to convert it actual sounds. This is usually done with a DAW (digital audio workstation). There are many out there and many are free. In the DAW, you then select the MIDI input device (from your keyboard) and configure your software to "route" that signal to an virtual device which does the conversion to sound on your computer (if you are pressing keys/notes) on your keyboard.
There are also some general purpose software instruments you can download and configure to use whatever MIDI input you wish. On Windows, Microsoft has a virtual synth device, however you might need some software to route the input of your keyboard to that device. You might want to look at Bome MIDI Translator Pro for doing this. I am a Moderator on their support forum and if you post a specific question there on what you are trying to do, I might be able to help further.
Steve
bome@sniz.biz
Independent Bome Programming Specialist
Bome Q&A moderator
http://www.bome.com/support