This is a user-to-user area; it could be some time before an XXL user comes in. I haven't seen that in North America so I am not sure how accurate my information will be.
I think the keyboard that is used in the XXL is a controller board; it by itself will not have sound. The sound would be generated by a synth chip... Your soundcard. The program Music Maker is just allowing that information to be recorded. I am going to assume that the keyboard is connecting by USB. So when you plug this, does Windows state that it has found new hardware?
In the Music Maker program, if you press "Y" on your computer keyboard, that should open system properties. In that, you should have a tab for audio/midi or sound. In that tab you should have a section for MIDI and that you will probably need to use the Output device: "Microsoft GS Wavetable Synth"
For the number of tracks, if you press "E" on the computer keyboard, it may open a dialog where you can change the arrangement properties.