Despite its small size and toy-like appearance, the Korg microKORG is a very capable performance keyboard synthesizer and vocoder. If you want to use it when playing live with a band, you'll need to run the signal through an external amplifier. There are also ways you can use the microKORG without connecting it to an amplifier.
If you want to play the microKORG but don't have an amplifier handy, or can't make too much noise, you can listen through headphones instead. The headphone jack is located on the rear panel of the microKORG, to the right of the left and right-channel outputs. The jack accepts a standard 1/4-inch connector. If your headphones have a 1/8-inch connector, you may need an adapter.
It's generally not necessary to use an amplifier when recording the microKORG, unless you want an overdriven sound produced by playing through a tube amplifier. You can use the left-channel output to record a mono signal, or connect both left and right channels to record in stereo.
Connect to a Public Address System
When playing in live music venues, you may find it easiest to run the microKORG directly through the venue's public address (PA) system rather than use an amplifier. Let the sound engineer know that you wish to connect to the PA, and help him find the left and right channel outputs on the rear panel. If your sounds need true stereo separation, let the sound engineer know; otherwise, he may only connect the PA system to the left/mono output.
Using the microKORG as a Tone Generator
If you own other MIDI keyboards or sequencers, you can use the microKORG as a tone generator and control it using your other devices. To do this, simply use a MIDI cable to connect the MIDI out port on the back of the microKORG to the MIDI in on your external device. You will need to configure the microKORG's MIDI settings to make this work, which is explained on pages 49-57 of the user manual.