Well, for starters, The pico hardware requires the eigenlabs software 'eigenD'. There is a good getting started process in the material you got with the pico but, basically, just install the software from the included flashdrive, run it, and attach the pico.
I highly recommend watching the tutorial videos and spending some time (quite a bit actually) playing the pico just by itself and with the things you can load into it (such as audio units).
The pico *will* run MIDI stuff (via eigenD) there is some info in the WIKI for what you seem to be trying to do. Look here:
http://www.eigenlabs.com/wiki/Using_EigenD_with_DAWs/
The WIKI is full of other great info and well worth a thorough read through.
All the best with your new pico
m