This is the MIDI Input button.

Click this button and choose the port where your MIDI input device is connected. For this tutorial, choose Auto Input, and will automatically choose your configured MIDI device.

Only ports that are selected in the Make these devices available for MIDI input box on the MIDI tab of the Preferences dialog are available.

If you want to hear the notes you're playing, click the MIDI Input button on the track header and choose Send MIDI Input Thru to MIDI Output. When this command is selected, notes from the MIDI controller are sent to the track's MIDI device or soft synth for monitoring.

When you are ready to continue, click the Next button.