In the Options -preferences - audio section you need to select which device you want to hear the audio from (output side) and which device to record audio from (input side).

Then comes MIDI - much different than audio, and not sure if you are even using it or not;
The MS wavetable synth choice should give you sound for MIDI from the computer speakers.
In the Options -preferences -midi devices area you can see if you have a DXi synth installed, which it sounds like you may not.
Do you have a DXi or VSTi to use for a syth? I'm wondering if you missed intalling it, or may need to get one.
This will help simplify things for you, as your MIDI sounds would then play back from the same device as the audio does.

I do not work here, but the benefits are still awesome
Make your sound your own!