I don't think you'll need a driver for your M-Audio for most uses, but it's recommended that you install the driver if you want to be able to do certain things; I forget what they are, exactly, but the manual for your particular model should have any pertinent information regarding that. I just went ahead and installed the driver for my M-Audio, even though I didn't think I'd ever need to do the things that it enables. [EDIT: I was just looking for the documents on M-Audio's web site, and there is no driver that's specifically available for the Oxygen 25 controller because none is needed. So now I just have to wait for Gary/
@happyrat1 to say "I told you so."
There was no driver needed for my Axiom 61, either, but there was one available anyway in case it was ever needed for certain types of operations.]
The first "problem" I ran into after I connected my M-Audio to my computer and tried to play some virtual instruments with it, was that there was a very noticeable delay between the moment when I struck a key and the moment when a sound was produced on the computer. This delay is called "latency," and it's something that's inescapable (even light takes time to travel from point A to point B-- for instance, it takes about 8 minutes for the light from the Sun to travel to the Earth-- and electrical signals travel a lot more slowly than light does).
There can be numerous causes of latency, but in this particular situation (using a MIDI controller to play a virtual instrument) the principal culprit is usually the audio driver. If you're using a Windows computer and your sound card doesn't have an ASIO audio driver available for it, you can install a free "fake ASIO" driver called ASIO4ALL which will help a lot, although an actual ASIO driver is preferred. DAWs often come with ASIO drivers, so if you install a DAW then you can try using the ASIO driver that comes with it.
Even with a great audio driver, another culprit that can cause latency issues is the buffering of audio data. I don't know how much you know about basic computer-related stuff, but a data buffer is like a little waiting room where the computer lets data collect (like people waiting to get on a ride or whatever) until the room is filled up, then it opens the exit to let everyone out as a group, then closes off the exit again so a new group of people can start to accumulate, etc. If the audio buffer is set too large, you can notice a definite delay in the audio when using a MIDI keyboard, although for stuff like playing back a song the delay will be unnoticeable since you can't tell that there's a delay between the moment the computer reads specific bits of audio data from the file and the moment when those specific bits of audio data produce a sound from the speakers. So decreasing the size of the audio buffer can help to dramatically decrease any latency issues.
Aside from that, latency can also be caused by the other hardware and software involved, such as (but not limited to) how long it takes the keyboard controller to detect that you've just struck a key, convert that keystroke and its velocity into a MIDI Note event, and send that MIDI Note event to the MIDI Out data port; how long it takes the MIDI data to travel along the physical cable to the computer; and how long it takes the virtual instrument software to interpret the received MIDI data and generate the appropriate sound.
You can't do anything about most of those things, though. But you can do something about the audio driver and the audio buffer size.
PS -- I know that's a lot of information that you probably weren't interested in reading, but the moment you experience latency issues you're going to be looking for an explanation as to what's going on and how you can make it stop doing that annoying delay thing. So as Barney Fife would say, "Nip it in the bud! Nip it, nip it, nip it!"
