The gap that you're hearing between playing a note and it sounding through your PC is called 'Latency' - it can be reduced by reducing the buffer size of your sound card, but this comes at a price of processing power.
My built-in sound card on my MacBook runs at a buffer size of 256 samples, which gives 12ms of delay by default. I can drop this to 32 samples the latency is 4ms - significantly less delay between sound in and sound out, but performance of my MacBook is reduced.
If I plug in my 'portable' sound card (a little Alesis USB thing) I can get similar results, but my old (like, really old) MOTU firewire will run at half of those figures across 8 channels all day.
You pays your money and you takes your choice.