Playing sound from keyboard through MIDI on speakers

Windows 8.1, Audacity 2.0.6, .exe

I couldn’t find a way to get the software to play the sound from my piano keyboard with MIDI in real-time on Audacity as I could with MuLab. How can I do this?

Thank you for your time!

Audacity is an “audio” application. “MIDI” is not “audio”.
See here for more information:
Audacity does not play MIDI. You need to use a program that supports MIDI sequencing to do that.