The Fantom's AUDIO out (1/4" cables) need to be sent into the M-Audio's AUDIO inputs (1/4" cables).
The most important thing to understand about MIDI is that it is not sound. No sound
ever goes down a MIDI cable, nor the MIDI stream within a USB cable.
To make things even more confusing, the Fantom
can send audio signals via its USB connection, but the audio stream is very very different from its MIDI stream.
It's pretty sketchy getting both your M-Audio and Fantom sending/receiving audio via USB. It requires setting up what's known as an aggregate device in your Mac's Audio/MIDI setup, and I'm not positive ProTools 9 even supports aggregate devices (earlier versions didn't even support non-Digi or M-Audio interfaces at all). Therefore, it's best, at least for now, to just run audio cables from the Fantom to your M-Audio device and record sound that way.
Keep the Fantom's USB connected for MIDI tho'.
Here's how the whole beast will work, once it's set up correctly:
1. Playing a key on the Fantom sends a MIDI note message (among other things) down the USB cable. This MIDI note message is NOT sound, much like pressing "Q" on your QWERTY keyboard is not a printout of a 32-point Helvetica font with drop-shadow. It's just a Q message.
2. A MIDI track in ProTools records that you pressed middle C (or whatever) and stores this data on the track as a note message.
3. The MIDI track sends the middle C message back out to the Fantom and tells it to play the note.
4. The Fantom plays middle C and generates a sound, which is sent from it's 1/4" audio outs (OUT A L/R) to the M-Audio's 1/4" audio line ins.
5. On a ProTools AUDIO track (different from a MIDI track), this sound is recorded as a waveform, only after which is sound actually recorded into the computer. Alternatively, you can set up an Aux input channel (instead of a recording track), where you're simply monitoring the sound of the Fantom's outputs through ProTools' mixer. This gives you more flexibility because you can change the sounds at any time, even after sequencing the MIDI parts—much like changing your "Q" from 32-point Helvetica with a drop-shadow to a 64-point Arial in purple (you don't have to retype the Q, you just change the font).
What's cool is that all five steps can take place instantly, with imperceptible delay.
There's a really good starter guide to MIDI here:
http://www.midi.org/aboutmidi/intromidi.pdf