Soundproof the room by covering the walls with sound-dampening foam. The amount of foam needed depends on the room. Attach the foam to the walls in tiles three or four feet square until you eliminate standing waves in the room. You can check this by clapping in the middle of the room and listening for any resonance. When the room is properly insulated, you will be able to clap and hear absolutely nothing else besides the initial clap.
Connect your studio monitors to the audio interface and connect the audio interface to your computer using either a USB or FireWire cable. Also connect the MIDI controller to the computer with a USB cable.
Install the DAW software you chose and make sure it recognizes your MIDI controller. You may need to go into the DAW's settings and manually choose the manufacturer of your MIDI controller if the DAW does not automatically detect it. When the MIDI controller is properly set up, you will be able to create a new MIDI track on your DAW's sequencer and hear it play notes as you play them on the controller.
Set up the audio interface by installing any required software that came with it. When the audio interface is properly set up, you will be able to access it from the settings within your DAW. For example, you should be able to assign an input channel from your audio interface to an audio channel on the DAW and watch the signal meter respond as it receives the audio signal from the audio interface channel, perhaps through a microphone.
Familiarize yourself with the sequencer on the DAW. This is nucleus of your new DIY music studio. The sequencer allows you to layer individual sounds on top of each other to build a song. These sounds can come from instruments or microphones plugged into your audio interface, or from software instruments you control with your MIDI controller. Once all of your hardware and software is installed and connected, mastering the sequencer is the key to making music.