MIDI files function like sheet music. Sheet music contains all the information an instrumentalist needs to make music. If the instrumentalist does not play what’s written on the sheet music, you hear nothing. Like sheet music, MIDI does not transmit audio signals (digital or analog). Meaning, if you were to plug your MIDI cable into a loudspeaker or audio device, you wouldn’t hear anything.
Therefore, you need to convert a MIDI file into an audio file in order to hear what it really sounds like. There are several ways you can playback MIDI in Cakewalk and several ways you can convert or record MIDI to audio. Follow the link to Cakewalk’s support pages for more information.