You connect the MOXF to your computer (you'll need one to run Pro Tools) via a single USB cable. You will need to download and install the Yamaha Steinberg USB Driver (the proper one for your computer type and operating system). This YSUSB driver will handle both MIDI and audio communication between the MOXF and your computer.

MIDI performance (note-ons, controllers, tempo, etc), and it turns your MOXF into a 4-in/2-out audio interface for your computer. This is available when you select "4CH" mode for USB I/O.

You provided us no information on your computer or OS, but you'll need that information when you download the driver:
Go to the official Yamaha Download sites global portal (download.yamaha.com) Select your country, Type in your MODEL NAME: MOXF8,
When the Search Results appear, verify by clicking on your model: MOXF8
This will recall all available downloads for the MOXF.

Locate the driver... It comes zipped with installation instructions... Please read through the installation before proceeding.

In your DAW, Pro Tools, you'll select the MOXF8 via Port 1 for (MIDI) music performance data, and under the audio setup you'll select the Yamaha Steinberg USB driver as your ASIO Driver. It delivers 4 incoming audio channels from the MOXF, USB 1-4, in two stereo pairs.

USB 1/2 default to the MOXF's A/D Input, but can be used for an individual internal synth Part or group of internal synth Parts, as you may require.
USB 3/4 is dedicated to the 16 internal MOXF synth Parts.

With this setup you can play and sing, recording each discreetly, or you can use USB 1/2 for isolated recording of individual Parts as you build your multi channel recording. All internal synth Parts can be freely assigned to either USB 1/2 or USB 3/4, as necessary.

Because the MOXF becomes your audio and Midi interface, you connect your monitor speaker system to the main Left/Right Outputs.
That should get you started. For more details, please provide more detail