Logic Pro 8 issue: can't hear MIDI keyboard?

I’m using Logic Pro 8 on a MacBook Pro, and I want to record using a MIDI keyboard (M-AUDIO Keystation 49-e). I have the keyboard plugged in, and Logic is registering what I’m playing since I see note names in place of “No In” when I play. Under “GM Device 2,” I have set “Port” to “USB Keystation 49-e.” Yet I get no sound before or after I try recording.

I’ve looked in the manuals but can’t find any answers. I have Googled for an answer and keep finding threads saying things like “Read the manual” and “MIDI isn’t audio.” These statements have not solved my problem. I know I can hear myself playing MIDI because I can do it with the caps-lock keyboard, so I don’t see why the fact that “MIDI isn’t audio” should prevent me from hearing the instrument. Any ideas?