Welcome to the forum.
If you're not planning on using this set up live, you won't really need to set up the Nanopad to trigger sounds in my opinion. You can use a MIDI note to play the sounds, either drawn in MC in the Piano Roll view or the Staff view. Or recorded into a MIDI track with the keyboard.
Remember, what you hear when playing the controller isn't recorded; just the MIDI note is recorded and the MIDI data is sent to a software or hardware synthesizer to make the sound. To permanently 'record' that sound you would need to bounce the MIDI track/soft synth track to an audio track.
Folks who play live music may want to trigger sounds on the fly with their synths and controllers and to be able to quickly choose a sound to play. If your interest is recording your music, you should have everything you need to get started now.
Connect the controller, install any drivers that might have come with the controller.
In MC under Options>MIDI Devices, make sure MC sees the controller as a valid input. You won't need a MIDI output since the controller makes no sound.
Go to Insert>Soft Synths at the top and select Battery 3. Make sure 'Create MIDI Source Track' is selected. A MIDI track and a soft synth track will be inserted.
In the MIDI track, select the controller as the input and ensure that the output is set to Battery 3.
Lower the output volume of the synth track. I downloaded the demo version of Battery 3 awhile ago after reading your post and some of the kits are LOUD! You don't want to hurt anything, like the new Fast Track, your speakers or your ears.
Select a kit in Battery. Play the controller. You should hear drums.
Good luck!