Alesis Andromeda A6

Usually your softsynth will have a 'midi learn' function for whatever function you wish to control using an external knob, slider, etc.  In Reason, for example you just click midi learn in the midi menu, then click on the knob on screen that you want to tie to your external controller.  Then just turn that external knob and you should see your virtual knob moving too.  If you need more clarification, post which software you're talking about, both sequenceer and softsynth.

Chip