To play VST instruments live or to record using a MIDI keyboard, follow these steps:

• In the program settings (Y key), change the driver to an ASIO driver.

We recommend using the ASIO driver that goes with the audio interface you are using. If you don't have one, use the included "Magix Low Latency 2016" driver instead. You can also use this driver with the (Realtek) onboard audio chip. 
The ASIO4ALL driver can also be used as an alternative:

Download ASIO4ALL 

• Be sure to also set the monitoring engine to "Hybrid Engine" under "Audio Settings" in the system settings (Y key). To set the monitoring engine, drag the slider all the way to the right.
• Enable global monitoring. To do this, click the "MON" button in the transport console.
• Turn on track monitoring in the MIDI track.
• Make sure you have the correct MIDI-IN device enabled in the MIDI track.