MIDI is a hardware + software global standard for encoding musical performance for storage, reproduction, and remote control of other MIDI devices (including nonmusical machines e.g. light show controllers). A MIDI device need not be a sound source or processor, but often is as well as a controller. A MIDI keyboard may or may not be a sound generator (or "synth"), but merely a "controller" that generates &/or processes MIDI digital code (serial strings of digital code I/O).
Silent MIDI controllers (or processors) that contain no audio, rely on their code output being acted on by other remote connected devices, e.g. sound generator hardware (synths, etc.) or musical software (PC based), or printed score transcription software, etc. etc. If one has no PC+softsynth wares, no worry. A MIDI controller is designed to control ANY MIDI instrument or sound generator module that has a MIDI IN port on it, and their have been countless thousands of models since the birth of MIDI around 1984-85. Some MIDI sound generators are light, compact, palm sized devices; some old devices are large, bulky, and were almost too heavy for 1 person to lift and carry.
See the M-Audio Web site below for specific specs on your MIDI keyboard. I'll bet you can ascertain whether it's an instrument or just a controller intended to be connected to a PC either by MIDI port+cables, or USB interface, or firewire, or whatever.
Otherwise, you can just look on the hardware's back and side panels for some audio out jack, which would be a pretty good clue. ;-)