A-500 is a MIDI-controller keyboard, so it can not produce sound. You need to use a soft synth in order to hear something.
MIDI is like electronic notation. You need to have something to play the notation.
The MIDI-file playback you hear comes most likely from the computers internal Wavetable synth.
The basic idea is: You have a MIDI track with input from your keyboard and output to a soft synth, and an audio track with input from the soft synth and output to your sound card.
I don't know what soft synths you got. Sometimes A-500) is sold with SONAR Production Pack, which includes soft synths, the basic LE is very sparse.