Being a noob myself, I feel both excited and underqualified to answer your question. I myself was in this same position, though, so I know what you're going through.
Luckily, your options are numerous. The Axiom 49 offers two major ways to make sound -- MIDI and USB. If you want to use MIDI, just plug the Axiom into a sound module via a MIDI cable and then plug that into an amp/house system/headphones/etc. Another option is to use it over USB as a controller for a soft synth. That's a program that emulates synthesizers, drum machines, mixers, and a whole host of other things. The Axiom 49 has drum pads, aftertouch, keys, faders and knobs, and all of them control different parameters of these programs. You will, of course, need a computer to plug everything in to, though.
Some of the more popular soft synth programs are actually DAW's (digital audio workstations) like Reason and Ableton Live. Google those, download the demos, and have some fun making music.
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