It seems like you M-Audio is not a keyboard/piano, but a midi player (or whatever name for these kinds of instruments is). Sounds in such instruments suppose to go from your computer, right?
If this is the case, our Demo is not set for such instruments, but full version has a check box to make the instrument work with Soft Mozart.
one of our Russian clients, however, found the way around this issue here:
www.softmozart.com/forum/11--/320
starterkit.html?limit=6&start=24
I will translate, what he wrote for you:
Start Regedit, go to
HKEY_LOCAL_MACHINE\SOFTWARE\Do Re Mi Fa Soft\Soft Mozart Demo\2\
and place parameters Piano Key Sound feature 1.
After that you will be able to hear sounds
Just in case I add reg-file with this parameter *the file is attached to original post*. I had to ZIP it to be able to attach it.
Save the file, unzip it and make a double click on reg file, agree to include the file into the registry.