MIDI latency

I know this is an old and recurring issue, but I need some personalized help. I have this cute little free program that is a virtual midi piano. The problem is that there is a noticeable delay. The more keys I press, the more the delay. The only way to play normally is to mute the computer and record what I am playing blindly (or is it deafly).
I downloaded ASIO4ALL and installed it but I don't see any change. It doesn't show up in the Control Panel > Sounds. The only option I have in Audio default device is, Microsoft GS Wavetable SW Synth.