You know there's always some latency when using electronic and virtual instruments.
Speaking of virtual instruments, it depends a lot on the audio interface you're using and the settings.
The main setting associated with latency is audio buffer size. The smaller it is, the less latency there is... at the expense of sound quality.
So... what's your audio interface ? If you're not using an ASIO driven interface, you should think of buying one
If you're using a PC (instead of a Mac) you can try installing ASIO4ALL as a workaround. Not the real deal but at least it'll improve the performance of the existing default audio card (if you're using the embedded audio card).