I believe this is a MIDI controller, which means it does not make sound, it just inputs data to your computer program. Is your sound card capable of producing sound from a MIDI input? If not, you will have to learn how to use software synthesizers. Look up "Soft Synths" in the help files.
Also, plug the MIDI out cable to the MIDI in hole, and the MIDI in cable to the MIDI out hole. Or is it USB?
Greg