The delay between the time that you strike a note on a MIDI keyboard and the time you hear the sound is referred to as latency. To get the lowest latency you need audio drivers that support ASIO (Audio Streaming Input Output). If you have a sound card that supports ASIO then you want to use the ASIO drivers for that card. If your audio device came with a driver CD and you did not install it, now would be a good time to do so.
Go into Options | Preferences and click on the Audio Device tab. When you first look under Audio device type: (it probably says Microsoft Sound Mapper) see if there is an option that says ASIO in it. It if does select that. You may also have to press the Advanced button at the bottom of that dialog and configure the drivers to lower the ASIO buffer latency.
If you don’t have an ASIO capable sound card then adjust the Playback buffering (seconds): on that same dialog to see how low you can get it before the sound breaks up. It will not be as good as ASIO but it will make the delay shorter.
There is a driver called ASIO4ALL that should work with almost any audio hardware and is good to use in a pinch but if you’re going to use a MIDI keyboard, you really need to get an ASIO capable sound card.
Thanks for this. That simple change helped a LOT.