If you're still struggling...
1. Set up the Preferences > MIDI > Control Surfaces page as Phil67P instructed. (This is a must)
2. Choose "None" from the track input pull-down menu.
3. Go to Preferences > MIDI > Playback and Recording, and check "Allow MID Recording without an Armed Track" (You'll no longer have to arm the track to start recording. Instead, just press R)
4. Go to Utilities > A-PRO (This opens the Sonar Control Surface Plugin)
5. Select "Tracks/FX/Synths/Utility 2" from the Presets pull-down menu.
6. Load whatever VSTi and play the keyboard (You'll hear the sound)
7. Click the "PADS ARE NOTES" radio button and strike the A1-A8 pads (You'll hear the sound)
You don't need to change the midi channels on A-300PRO at all.