"surprised M-Audio didn't provide you with a "How-to" manual." - gnarly

They did....from the Oxygen manual.

Oxygen Series - User Guide

1- Introduction

Congratulations on purchasing an M-Audio Oxygen Series keyboard. Oxygen keyboards now offer DirectLink, which provides support for Digital Audio Workstations (DAW) such as Pro Tools 8 by automatically mapping the track and master volume sliders, slider buttons, pan knobs and transport controls to their corresponding functions in the program.

A single USB connection not only sends MIDI data to the computer, but also provides power to the keyboard. All Oxygen Series keyboards function as class-compliant devices and will be recognized by your computer without the need to install additional drivers. Simply use the included USB cable to connect the keyboard to an available USB port on your computer and set the power switch to the On position.

Please refer to Section 5 of this Guide for more information on keyboard setup (including optional driver installation), and configuration of your recording application.

2 - What’s in the Box

The Oxygen Series keyboard packaging includes the following:

Oxygen Series keyboard

USB Cable

Printed Quick Start Guide

Oxygen Series disk

However, it doesn't specifically tell him to go to the Audio/MIDI tab in the Program Settings in MMM and choose the Oxygen as the MIDI Recording Device.