Does the software that comes with a midi controller come with sound kits that you can adjust on the computer?

Me and my buddy are looking to make some beats. We want a small 25 key midi controller. I'm used to using a yamaha motif where the sounds are built into the keyboard already and I'm kind of unclear on how the sounds are actually incorporated with a smaller midi. Do you select sounds from the software and it plays from the keyboard or do you have to load sounds directly to the keyboard?

please help