On my Windows PC, I've used LinuxSampler in the past to much success with an SP88x. It's a matter of telling the app where the MIDI is coming from. You'll also need a piano sample set for it to use for the audio. It has taken me some digging before, but there are free sounds out there to be found online...sorry I don't have any immediate links for you on that front.
However, I'll usually myself routing the audio out of the keyboard itself to my sound system since I can flip it on and start playing rather than loading the app, waiting for the sample library to load, etc. (on the SP88, I tend to like patch #6 - "Sustain piano" about the best).
There also tends to be a latency issue when using LinuxSampler, but is easy enough to tweak if I've used the onboard sounds while performing tracks during a session, then cleaning up and capturing the sampled audio. It just tends to annoy me to have that delay when playing...too much of a distraction to enjoy the better sounds.