What you're looking for is a software instrument. It takes midi input from your keyboard, and generates audio data, either using pre-recorded sounds (in which case it would be a sampler) or generating sound on-the spot (a synthesizer).
There is a very vast repository of virtual instruments available for windows - some free, some commercial. Most of them are focused on specific instruments or categories. There are also packs of many different instruments, such as NI's Kontakt.
If you're looking for free software, a good alternative might be using soundfounts. There are dozens of free soundfonts available, only a google search away.
It's worth noticing that, although some software instruments provide stand-alone programs, many are only available as VST pluginsVST plugins. In order to use VST plugins and soundfonts, you should learn how to use a digital audio workstation.