Welcome to the forum. This is among the most basic operations with MIDI. MIDI is just data. It needs a synthesizer to make sound, in this case the synth is in your keyboard. You should be able to connect headphones to it  You can go to Insert at the top and you may be able to select a software synth. I am not exactly sure what ships with Cakewalk anymore. There have been a few changes . Once you have a soft synth, change the output of your piano MIDI track to that soft synth. The