*NOTE: Before following the directions below, if you have not already done so, download a copy (FREE) of ASIO4ALL 2.11 Beta2 from here: http://www.asio4all.com/ and install the drivers.
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.
Go into File | Settings | Program Settings | Audio/MIDI | and select ASIO on the Audio Device tab and then, "ASIO4ALL v2". I recommend that once you perform the above, close and restart. See if that corrects the latency. If not, you may have to make additional adjustments.