What he said^^^ and if you are not able to select the Steinberg to be the "audio engine" in Pro Tools, your Windows is likely using the Steinberg as the Default Playback Device(Windows usually NEEDS to NOT use the interface, to avoid hardware conflicts between Windows and Pro Tools)
The other possibility is the connection is bad(bad USB cable or you forgot the required system tweak of UNchecking the Power Management feature on all USB ports(aka "USB Root Hub" in Device Manager)