Ableton Live! 5 + Midi Controller

[mindcircus]

Hi this is my first time posting so I am not exactly sure where to post this. I also posted in the midi forum. I have a couple questions and hopefully you all can help me out! I am going to start using Ableton Live! 5 as my main source of djing. I was thinking about getting the Oxygen 8 midi controller, it has been recommended to me as a good one. My question is, when I plug my midi controller into my computer (12" ibook right now, soon to be 15" powerbook) is there a port on the midi controller that will allow me to listen to a cued track in my headphones, while the playing song is playing over the speakers? Thank you for your replies!