energyXT usually will setup the first available MIDI keyboard by default. If not go to File > Setup > MIDI and make sure your MIDI keyboard is activated by a checkmark.
If your MIDI keyboard is working properly you can now see the MIDI indicator flash in the main toolbar.
Lets create some tracks to playback. Click the Quick-add button and select Synthesizer to add new track with an instrument. Playing the MIDI keyboard should now play the voices of the Synthesizer.
If you get no sound, double-check that the track is receiving data from MIDI in. Go to the Track > Input menu and make sure MDI in is activated by a checkmark.
When using the MIDI keyboard to playback drum tracks, C1 is automatically mapped to the first drum, C#1 to the second, D1 to the third etc.
You may change the sensitivity of your MIDI keyboard for each track in the Object-bar (see Options menu or press 'o' key to open the object-bar)