In ST4 (and ST3 and other IK Multimedia products) you can load multiple instruments. For each one, you can set the MIDI Channel to which it responds. In this pic, the Acoustic Pop Kit is driven by MIDI notes on channel 01, Rock P Bass by MIDI notes on channel 02 and so on.
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https://i.imgur.com/kB6PpYF.pngLet's assume that you are using the standalone ST4 program (as you have not mentioned any DAW or p[lug-in host).
Your keyboard is probably sending MIDI out on MIDI Channel 01. So only instruments that are set to respond to MIDI notes on channel 01 will make any sound. You have a few different approaches:
In ST4:
-- you can change the MIDI channel for each instrument, drag the number up/down?
-- make sure that only one instrument is set to channel 01
-- you can "layer" sounds too, set 2 or more instruments to channel 01 and they will all play.
More details are in the ST4 user manual.
On your keyboard:
-- you can change the MIDI Transmit Channel
-- here is the info for iRig KEYS 37
MIDI instruments can respond to 16 different MIDI channels. For iRig KEYS 37 to play an instrument, you need the iRig KEYS 37 MIDI Transmit Channel to match the receiving channel of your instrument.
To set the MIDI Transmit Channel:
• Enter EDIT mode (see beginning of Chapter 3).
• Press the D#2 key (MIDI CH). Both OCT buttons will flash.
• Enter the MIDI Channel number you need using the C3-E4 white keys marked from 0 to 9. Valid numbers are from 1 to 16, so when needed, you can enter two digits consecutively.
• Press the C5 key (ENTER/YES) to confirm your input. Both PROG buttons will flash to show the setting has been accepted, and iRig KEYS 37 will automatically exit EDIT mode.
More details are in the iRig KEYS user manual.