It depends on your set-up ... particularly the DAW and your MIDI-Interface. You can connect the MB via USB-MIDI and via classic DIN-5-Pin connectors to your computer. The MIDI input/output modes for the MB have to be defined by the MIDI-Control-Center settings.
Generally, if you have for example a VST synth loaded to a track in your DAW, you have only to set the MIDI-input port of this track to the MB directly (if USB is used) or to the MIDI-Interface, which is connected to the MB. Most DAWs allow that we use all MIDI-channels in parallel as input of a track.
If this connection is set-up correctly all MIDI-notes, MIDI-standard-controllers like Mod-Wheel, Pitch-Bend, Velocity, Aftertouch etc. are directly sent to the track, received by the VST synth and carried out correctly.
BUT, since your VST-synth and the MB will often not use all MIDI-CC in the same way, your VST has to learn, which CC of the MB shall control a particular feature. Modern VST synths come with a MIDI-learn function. In many cases a "knob" on the VST GUI allows to be activated in a "MIDI-learn-mode". Using this, we can move a "knob" on the MB, which is sending out CC and the VST "learns" automatically that this particular CC shall be linked to it's own "knob".
Hopefully this shades some light on your question
