And once you've learned how to make Dexed work in your DAW... it will be exactly the same way for almost any other synth and effect.
The rest will come easily after that.
The first very important thing to do is to install your ASIO tool in your computer.
Then you connect your USB keyboard.
Then you install your DAW. Once your DAW is installed, generally it immediately asks you what audio interface you want to use (you answer that you choose to use your ASIO interface) and what MIDI interface you want to use (you answer that you choose to use your Alesis keyboard, if it is this one which is connected).
Then you install Dexed.
Coming back to your DAW you ask it to scan your computer to search the VST plugins it contains (if it doesn't do this automatically, right click on the VST folder under devices and presets in the browser on the right hand side, and select Re-index. Normally it should be set to auto scan for changes as well).
This should be made only once for months or years, as the auto-scan is on for any future changes on your computer.
It will find Dexed. So Dexed will appear in the list of VST instruments and effects.
Then if you drag&drop Dexed from the list to the workspace, the GUI of Dexed will appear. If the keyboard is correctly set, it will immediately work.
Each time you install or uninstall a VST (whatever it is, instrument or effect), you won't have to do all these steps, as the auto-scan is set to On meaning to rescan the computer to search the VST plugins each time your DAW is reopened. The scan runs very fast, don't worry. It is a bit long only the first time.
And as our friend thejonsolo wrote, don't forget to learn in depth your DAW, by its user manual and by the very numerous how-to which are on Youtube.