If you are using MME only one program at a time can access the sound card and latency will be high. 160 - 750 msec.
DirectX 3 or later multiple programs can access at the same time. Latency in the 40 - 90 msec. range.
ASIO only allows one program at a time access but latency can be as low as 3 msec.
MIDI signals add a latency of about 3 msec. per note played at a time. Synths and controllers have latency also which adds to the total.
If you have a Mac, OS 9 has a constant 11 msec. latency, and OS X can be as low as 1 msec.
10 msec will seem to be instantaneous. 160 msec. will be almost unplayable on any but pad type patches.
So if you have local sound playing from the keyboard synth you may hear an echo from the PC.
I would go ASIO if I didn't have OS X.