OK, you bought a midi controller which means you have to give it a library of some sort with sounds to play. It can be a rack, another keyboard or a software.
I don't have Ableton, but it should be similar to other like-programs.
The idea is to select your keyboard as MIDI input. So plug in your keyboard first, let
your OS find it, then start Ableton. Search under settings for MIDI, and select M-audio as your main input controller.
Now if your default soundcard reproduces sound with a bit of delay try downloading this driver
http://www.asio4all.com/ and you should get rid of that.
Now, the sounds... Most likely Ableton doesn't come with extra sound samples (eg. piano), so you might consider getting some piano VSTs or other sort of plugins.
THE best piano sound you can get is
Pianoteq
it is NOT a sampled piano, rather it's a bunch of mathematical calculations and simulations on how does a piano sound. it has only 15mbs and it sounds brilliant.
If you want to just play, download pianoteq and play instantly with no settings or setup. It works great with my M-audio keystation88