Step 1: Install/Connect your Midi-device
(controller, keyboard, whatever) to your PC
(It doesn't matter if you use Midi-In or USB)
Step 2: Start OMPT and load/create a song
in which you have a VST(i) you want to control
Step 3: Go to View>Setup>Midi and choose
either "midi-port" or "usb audio interface"
(according to where you plugged your stuff)
Step 4: Enable the "Midi Record" button
Step 5: Go to View>MIDI mapping
Step 6: enable "MIDI learn", move the knob/fader/whatever
you want to control a certain parameter, select the plugin,
select the parameter, click "add"

Now you should be able to control that certain VST-parameter
with that knob/fader/whatever in Instrument-Tab or in the Pattern-View
(if the plugin window is active)
Repeat step 6 as often as you like with different plugins and/or parameters.
NOTE: this will only work "live" while actually playing/performing the song.
this feature can not be used for recording in OMPT.
If you want to record it, start an external sound-recording software like wavelab/goldwave/soundforge/... and record it that way.
more detailed pictures to follow soon....
Edit by Saga Musix: Replaced broken image links with images from the manual