No sound with BMK... because of Vista?

I installed BMK, I set it up with Reason 4, and everything works except for possibly the most important part...

I can't hear what I'm playing!

Is this just because I'm trying to use it on Vista or is there a fixable problem?

Please Help!

Have you set up Reason to "play in background"? Have you followed the steps in the tutorial? Can you see the MIDI data in Reason?

Thanks,
Florian