Lol. Boy do I feel dumb.
I just started using soft synths. (EG for Bass input) and folks highly recommended that I get a keyboard for real-time input.
So I bought an Alesis QX25 due to recommendations here.
I'm stunned by the lack of info tho. 
The manual simply describes the knobs functions..assuming I know what those functions are and how they would be used... Ha! big assumption.
I expected some start-up examples such as: 
"Using your QX25 for soft synth input:
1. plug it in to the USB port (It found itself)
2. run your recording program(Sonar)
3. install a soft synth to a track
4. set (something) to (something) and (something else) to (something else) etc in order to communicate with the track."
You can see where I come to a grinding halt.
Where can I find some basic instruction on getting started using this toy for input?

This one for a start :

http://youtu.be/X7QY3uIdzUQ

You would probably not want to do anything with the control surface yet. 

Just play around with the keys with soft synt and do some recording with modulation / pitch bend wheel.

Lol, Thansk for replying but you are waaay ahead of me.
I really have no clue here about MIDI devices.
First things first.
To start, the link you gave is for 8.5 & I have X1 but I think I get the initial process.
They seem to assume the device would show up in preferences.
If I go to Preferences, Midi, there is no Alesis QX25 showing up.
There is my BR800 which I use as my sound card. no problem there.
There is only one other check box for a "USB Audio Device"
What now?

Do you connect the keyboard via midi connector or usb ? For usb, you may need to install a driver.. have you done that ?

I am using USB from the device to the computer.
Ok, I used the USB one in Preferences and renamed it Alesis.
I then opened a new song file
then opened an SI Bass Synth and made a new track
then I set the input to Alesis -omni and left the output to my BR800 for my Sound card.
Then I put Input Echo on
And I get sound! Woo Hoo.
That was easier that I expected.
Now I need to deal with the latency 
I set the # of record buffers down to 10  and the playback to 20 but still get the delay.
Any suggestions?

What is the round trip latency reported at Preference-Driver Setting page ?

Do you feel a delay between pressing the key and hearing a sound ? Anything below 10ms is good for me.

That did help a lot, probably enough to play along.
Thanks a bunch.
I'm excited at the potential.

the Mixing Latency shows 4 buffers 
the buffer size I set to 10 and 
the Effective latency at 44Khz says 30ms
the wave profiler shows 16 bits ok all the way thru and 16, 24, 32 ok for 44K IN 

With my (asio) Quad Capture driver, the Effective latency is greyed out.

I can only access the ASIO panel to change latency setting, and the result are shown as Total Rountrip. 

Are you using ASIO or WDM driver ?