In Devices, Device Setup, VST Audio System, what is your ASIO driver? If the Realtek does not have its own dedicated ASIO driver, I would suggest using the free driver from www.asio4all.com While we do not officially support generic ASIO drivers, ASIO4ALL is often successful for users.
Start a new empty project and import a commercially recorded audio file from your computer. Does this playback?
Assuming it does, go to Devices, VST Instruments, and load Halion Sonic SE. Choose the option to Create a MIDI Track. With your mouse, play the keys on HSSE. Do you hear sound?
Now use your MIDI controller to record a MIDI event on the HSSE MIDI track. Do you hear sound from that?