Welcome to the DUC. Sorry, no screen shots(probably because you are a new member). In any case, since you show a Windows laptop, the key to successful midi is the proper setup. In Pro Tools, go to Setup>Midi>Midi Studio. In this window, create a new "instrument" and name it as you like(I would likely name it Yamaha). The next details of brand and model are optional(these will not affect function). The bit that is crucial is the Input Path and that will probably look something like XR18 Midi In[Emulated](don't ask me what [Emulated] means as I have no clue. It just shows up a lot
). Unless you need to send midi back to the keyboard, you can skip the Output Path. By default, all 16 channels should be in blue(highlighted) and you should leave it that way. Doing this tells Pro Tools where to "look for" incoming midi data. You may also need to enable Record-ready on your INSTRUMENT track before the keyboard will trigger a virtual instrument(I use MiniGrand for testing, but it does take several seconds to load up sounds)