What do you mean by using it as a MIDI controller? Controlling the transport in Protools (Play/Pause/etc?) Being able to record MIDI?
I wouldn't think there's anything you have to do with the Fantom; the settings should all be made in Protools. The only exception is if you're trying to record MIDI from the Fantom *and* send that MIDI immediately back to the Fantom so that the Fantom can produce audio. In this case, you want a setting that's probably called "Local On" or "Local Off" or something similar, and you want it to be set to Off. If it's on, pressing a key will have the Fantom generate sound from the keypress as well as sending MIDI out; if the MIDI comes back into the Fantom, the Fantom will generate sound twice: once for the key press itself and once for the MIDI.
I'm not a Roland person so I don't know if the setting will be called "Local On", but that's at least the behaviour you'd want.