You need to add a "plugin" to Reaper - that's a separate software app that will generate the sound for you. There are thousands to choose from - starting at $0 and going up to several hundreds.
I would go here are pick up one to start with:
http://www.kvraudio.com/product/zebralette-by-u-he
This will help too:
http://forum.cockos.com/showthread.php?t=25764
-- once you have installed the plugin into a folder
-- you tell Reaper where the plugins are located
-- then load the plugin onto the track
-- any MIDI received from your keyboard will trigger osunds from the plugin
There have been several threads with links to free plugins. I'm sure someone will help me out and post the links.