How do MIDI controllers/keyboards work?

So I'm wondering about how MIDI controllers work. Can I take like a virtual synthesizer or drum machine and use a MIDI controller to control the sound and effects? Or do you upload like samples onto the keyboard. Or what, how does it work? Is it really use to use or really complicated? What are the drawbacks from buying a real synthesizer? Also if I bought a drum machine that has MIDI inputs & outputs can I use it to control a virtual drum machine or is to upload sounds onto it or what?