Make sure your software is up to date.
Go to M-audio's website and browse the driver and software search. Choose "Keyboard Series" from the list. Scroll down the product list and choose your version of Oxygen. Select your OS from the third list, and scroll down the page to find the latest driver and software updates.
Download and install the latest driver and software updates.
Plug in your M-Audio Oxygen with the included USB cable.
Go to "Preferences" (under "Edit" if using Windows) from the Reason menu.
Navigate to the "Keyboards and Control Surfaces" page.
Click the "Add" button and choose "M-Audio" from the drop-down list of manufacturers. Select your version of Oxygen from the drop-down list of supported M-Audio products.
Exit "Preferences" and begin using your Oxygen.