The ML 3 is a controller, which can be connected to both hardware and software -synths. The MIDI Control Center software is not for generating sound, only for managing the settings and presets of many of the Arturia controllers and synths.
The ML 3 comes with a software bundle which includes Analog Lab Intro, Model D and The Gentleman. If you download and install those, you can play their sounds. You can also play any synth plugins running in your DAW - if you don't have one yet, the ML3 bundle includes Ableton Lite Live. The ML 3 with its software bundle is all you need to get started with playing and recording.
To get the software in the bundle, you need to create an account and register your ML3 at the Arturia website, then the downloads will be available.