using MIDI directly with digital piano

[daiukun]

i am having trouble using the sounds from my own digital piano through my protools using the midi track.

the following is my setup:

mac os10.3.5
protools LE 6.4
digi 002
midi controller (digital piano): roland FP-5

i can use my roland as a midi controller to run software synths through midi - aux track - audio track, but i can't seem to hear any sounds when i try to put it through the sounds on my roland (my keyboard as the sound module).

right now, i have it set up so that i have:
a midi track with roland FP-5 all channels, roland FP-5 channel 1 (what should i connect this to?)

please help. thanks in advance.