In your software go to Options|Devices.

Here you will see a list of MIDI Inputs and MIDI outputs.

If you can not see any MIDI inputs click here.

If you have MIDI inputs available, if no driver names appear in the Output column, you need to re-install your soundcard or update the soundcard drivers.
The output column allows you to choose which output driver you want for generating the MIDI sounds. Most soundcards will have an option such as "FM synth" or "SBLive Synth". Click on these driver names to use the sounds of your soundcard for playback of MIDI data. If you just have a sound chip, the software synth to select may be like "Microsoft SW synth". Click on the driver name of your choice.

Rule of Thumb: If you have numerous output drivers enabled (highlighted in blue) and cannot hear any output, de-select all but one of them and try again. Repeat this process until you hear some sounds.