I expected it was the low 128MB memory on my computer. But after skeptical research on the web, it turns out to be easily fixed by using a sound card with synthesizer built-in. The delay between pressing the key and sounding out from the speakers is caused mainly by software issue, Microsoft GS Wavetable SW Synth was supposed to be the best of software devices. Perhaps a drastic memory upgrade would fix it to certain extend...
Good thing I had a piece of sound card laying around, Sound Blaster Live! with built-in synthesizer. Just had to make sure that the Digital Output wasn't checked/enabled.
[@more@]