In order to hear MIDI playback you will always need to route the MIDI tracks to some MIDI device. Whether it is a synth built into Windows (MS GS Wavetable Synth), software synth (DXi VSTi) included with Cakewalk, or an external hardware synth, there are a few steps to take...

Internal Sound Card Playback:
If you have a built-in sound card and want Cakewalk to play MIDI through the synth built into Windows, you will need to switch Cakewalk's driver mode so it can see it.

1. Go to Edit > Preferences  > Audio - Playback and Recording (Options > Audio > Advanced in legacy products)
2. Change the Driver Mode to "MME (32-bit)" and click Apply (in legacy products put a check in the box that says "Always Use MME Interface" then click OK)
3. Restart the program and let the Wave Profiler Test your hardware.
4. Go to Edit > Preferences > MIDI - Devices (Options > MIDI Devices in legacy products).  You should now see "Microsoft GS Wavetable S/W synth" under outputs. 
5. Select this new device and click [Apply (if available) then OK.

Software Synth (DXi, VSTi) Setup:
If your sound card or audio interface supports WDM or ASIO drivers, you should use a DXi or VSTi virtual instrument as your synth, rather than the Microsoft GS Wavetable synth, which will not be available in these driver modes:

1. Go to Insert > Soft Synth and add one of the synths from the list (click the + sign in the upper left).
2. Make sure you check "MIDI Source", "First Synth Audio Output" and "Synth Property Page" from the Synth Options window that pops up. Once that particular synth is in view, press F1 for specific documentation on that synth (if available).
3. Cakewalk should automatically create and route the necessary tracks for your soft synth. You can now route existing MIDI tracks to this soft synth by changing the 'Output' setting in the MIDI track to the synth you inserted. Note - For detailed instructions, see the tutorial called "Using Soft Synths" or "Playing and recording software instruments" under Help | Help Topics.  These tutorials will be very helpful to you.

External MIDI Synth Setup:

1. Make sure you have your MIDI synth or module connected to your system (usually via USB or via MIDI cables to an external audio device). You need to connect the port on your interface marked OUT to the port on your keyboard marked IN, and IN to OUT. If you have a USB capable synth, make sure this is plugged into its own USB port rather than a USB hub.
2. Click Edit > Preferences > MIDI - Devices (Options > MIDI Devices in legacy products) choose the MIDI IN and MIDI OUT of your MIDI interface, and click "Move selected devices to top" (only the output side will move).
3. Make sure you have speakers or headphones connected to your synth because now it will play back the MIDI performance rather than your computers audio interface. It's best to run the audio output of your keyboard/synth to the Line in jack (or input channel) on your audio interface. This will allow you to record the MIDI as audio later.
4. Your keyboard must be in its multi-timbral mode and local control must be turned off.

If you are using a synth module or hardware synth (not a MIDI controller) and you have a Cakewalk product with Instrument Definition capability, you should import that definition for your specific synth.
Note - Certain Cakewalk products do not have Instrument Definition capability. Do the following to import instrument definitions into Cakewalk:

1. Click Options > Instruments > Define > Import. Use the navigation window to locate the instrument file (look for .INS files in the Sample Content folder) and click Open. 
2. Next choose one or more instrument definitions from the Import Instrument Definitions window and click OK.
3. Click Close and you'll be returned to the Assign Instruments window. You can then assign your new instruments definition(s) to the proper port and channel assignments.  Note - you may need to route channel 10 specifically to a Drum Instrument definition file. If none is available, route all channels to the single definition.
4. Set the Channel, Bank and Patch of each MIDI track you are routing to the synth. Every MIDI track with a different sound or patch has to be on a different channel.