It isn't always easy to set up the various scale and chord tools in DAWs: each DAW has its own method, some easier than others. If you use more than one DAW, you have to figure out how to set it up on each one, time that could be better spent creatively. So here's my guide to a single, easy method that will work with almost any DAW and involves no extra purchases. You also get some other very useful functionality.
First up, google for 'Minihost Modular download'. It's a free product from Image Line (the Fruity Loops folk). Theoretically still in beta but it has been our a few years and is stable. The download is via a support site, you'll be looking for v1.5.8. Install the VST. (Downside: it's 32-bit only.) Note that if you have any Harmor, or certain other of Image Line's products, the standalone versions run inside Minihost Modular v1.6, which is both more recent and 64-bit. Unfortunately it isn't available for separate download, and doesn't have a VST option.
Next step, open the Minihost Modular VST in your DAW. Go to File -> Preferences, select the Plugins tab, browse to your VST folders, select Scan and Verify, close preferences. That's a one time setup procedure.
Next step, right click on the blank screen, and select the top option, Add Plugin. Add an instrument from your VST collection. Play your controller, if MIDI input and audio output is set up correctly then you should see the green line (midi) on the left change as you play, and orange line on the right (audio) also change, and you should hear your instrument.
Final step, right click on the blank screen, and select the top option, Add Plugin. Add Scale Player. (This works with other scale and chord players.) Right Click on the green line and select Remove Connection. Drag the mouse from the green shape top left, to the green dot on the left of the scale player icon. Next, drag the mouse from the green dot on the right of the scale player icon to the green dot on the left of the instrument icon.
That's it. Your MIDI is now routed through Scale Player to your instrument. Double click the Scale Player or instrument icon to access their interfaces. And you can add as many instruments and effects as you like, just as easily.
One confession: I discovered this through using v1.6, and I know about v1.5.8 from reading the Image Line forums. I haven't yet installed v1.5.8 in case it kills my v1.6 install, so the above is partly theoretical, but I'd be surprised if it doesn't work.