@SPARKY If you have a DAW and you have a keyboard attached to it, then the process is very similar. Your keyboard and Sylphyo are midi controllers that connect in much the same way.Your DAW guide should give you details.
It depends what you want to do -- earbuds and the onoboard sounds are perfectly good if you want to experiment and amuse yourself.
I would say that the SWAM instruments (https://audiomodeling.com/solo-woodwinds/) are incredibly good, and if you want to sound like a flute or sax, you won't regret getting a platform that can run the SWAM plugins.