Well for starters, a midi controller can't make sound so I suspect that is the root of the problem ;-).
When you press on your midi controller keyboard, do you see notes show up in the transport bar (there is a little midi in and out field that shows when you press the keys what chord or note you are playing)? If not, your controller is not working head over to M-Audio and download and then install the driver.
If you do see notes show up in the transport. create a new audio instrument track (of to the track menu in the arrange page, select new, and then select audio track). Then instantiate a new instrument plugin by clicking and holding the area right below the letters "I/O".
Press your keyboard, and you should hear sounds, assuming that you have an audio interface connected to your computer, and that you have it selected as the audio playback source.