First, you can check under Device Manager in Windows (Right-click My Computer, go to Properties, Hardware, Device Manager, Human Interface Devices, and there should be a "USB Human Interface Device" listed. That's your Steinberg dongle. If that is listed and does not have a yellow ? or !, it should be working.

If not, you can use the light in the dongle to troubleshoot problems.

When you:
Power on computer, the light should be dim.
Starts to load Windows, the light should go off.
During Windows loading, the light comes on dim.
When it gets to desktop, the light will flash bright a couple times, then stay dim.
Launch software, it will flash bright several times, then go dim.