I just got a Yamaha i455 keyboard. It has good speakers and I would like to use them as external speakers. The USB to host port works fine. I can't figure it out, but Synthesia plays the notes on my keyboard, so sound can be transferred from the computer to the keyboard.
Plug in your keyboard.
Find some speaker settings on your PC. I know for macs, there's a program called 'Audio Midi Setup' where you can select the keyboard as your choice of speaker.
There should be something similar on windows - if that's what you're using.