it's highly likely that nothing is wrong! The K-Board is a MIDI controller, which means it doesn't actually make sound on its own. Instead, it sends "MIDI" messages, which are used to control other sound generating software/hardware. A seemingly minor distinction, but is actually quite important to understand.
Just open up any audio software that is able to respond to incoming MIDI messages and, depending on the software, the K-Board should start working right away. It's possible there may be more steps required to properly configure an application to respond to an attached MIDI device — please refer to your software's documentation if this is the case.