The opposite problem of sound breaking up or gapping is that the sound will be delayed and have a latency from the time a note is played to the time you hear it. The solution to latency depends on the type of audio drivers you are using.
Reducing Latency Using Wave drivers
Go to the Preferences, click "Sound Device" followed by clicking "Wave". Reduce the number of buffers and/or buffer size. Try different settings to try and find the right balance between performance and smooth non-gapping audio. The latency will be shown in milliseconds.
Reducing Latency Using ASIO
Go to the Preferences, click "Sound Device" followed by clicking "ASIO". Click the Open Mixer... button. Use your ASIO driver control to configure the latency. Usually, you will have some way to set the latency in terms of milliseconds. If possible, choose 10 milliseconds. 40-80 milliseconds is also tolerable.
Reducing Latency Using WaveRT
Go to the Preferences, click "Sound Device" followed by clicking "WaveRT". and select a lower latency time. (WaveRT is only available on Vista or higher.)
Always make sure that you have the latest drivers for your sound card or audio interface.