It should recognize your MIDI controller straight away.
What version of ProTools 8 are you running. Make sure you are on the latest version of ProTools 8. Also make sure you have the latest drivers for your M-Audio controller. Maybe go to the M-Audio site and see if you can download newer drivers for the unit.
Also try going into the Audio MIDI setup. Make sure your device is connected.
Go to Windows > Show MIDI Window.
Then click [b]Rescan MIDI[/b], and see if that changes anything.