Although digital communication standards that include MIDI are incredibly fast, they are not instantaneous. When you press a key on your MIDI keyboard, it takes a few milliseconds for the audio software to receive the MIDI command, process it and translate it into audio. Although this delay is very short, your ears can pick up on tiny discrepancies in sound timing: a 40-millisecond delay, for example, is easily noticeable. This delay makes it difficult to, for example, to play a MIDI keyboard in time with a backing track. To make things even more difficult, USB MIDI latency is unpredictable: pressing the same key twice can result in two different delay times.
USB MIDI keyboards are convenient, as you can just plug them into a free USB port on your computer. Your system then uses the USB port to transfer MIDI data to and from the device. USB, however, is a general-purpose communication method, and is not designed specifically for MIDI messages. Using a sound card with a dedicated MIDI port can help reduce latency; an audio interface that connects the MIDI device to the computer's serial or parallel port can also reduce this delay. If you must use a USB connection, connect the keyboard directly to a port rather than to a USB hub.
Adjusting the buffer settings on the audio software you're running can reduce the delay that latency causes. Audio software uses a buffer to process the incoming commands from the USB port; if this buffer setting is too high, latency may result. Open your audio software's Preferences, Options or Setting section, then adjust the "Buffer" setting. Play the USB MIDI keyboard after each adjustment; continue adjusting the buffer until the delay diminishes or, hopefully, disappears.
Updating the device drivers on your system may help reduce MIDI latency. You can download and install updated drivers for your sound card and MIDI device from their respective manufacturers. Keep the other drivers on your system updated as well: a problematic graphics card or CD-ROM driver, for example, can interfere with your audio software's processing procedures.