Download and install any corresponding drivers associated with your M-Audio keyboard from the M-Audio website at M-audio.com/index.php?do=support&tab=driver.
Connect your keyboard to your audio interface. The audio interface is an intermediate device between your keyboard and computer, capable of handling a lot of audio processing. The Mbox, for example, is an audio interface that is closely associated with many versions of Pro Tools. Depending on the keyboard model and your audio interface ports, you will need either a MIDI cable or a USB cable. A MIDI cable has at least two 5-pin connection points at each end (for sending signals out, in and sometimes through). A USB cable has only one connector at each end. MIDI ports are circular, while USB ports are approximately rectangular. Some keyboards and audio interfaces have both types of ports, in which case you may choose which cable type to use.
Connect your audio interface to your computer. Most audio interfaces will connect to your computer via a USB cable. Your computer's USB port may even help power the audio interface. You may need to download and install drivers for your audio interface from the manufacturer's website.
Open Pro Tools.
Begin a new Pro Tools project.
Select "New..." in the Track drop-down menu in order to create new tracks.
Create two new tracks: one MIDI and one Master fader. Alter the track types accordingly in the New Track dialog box.
Select the Window drop-down menu and switch to the Mix view. This will allow you to view the mixer settings for each track.
Locate your MIDI keyboard in the I/O drop-down menu of the MIDI track. Specify your M-Audio keyboard as the input device.