Just click on it with the mouse button and release. You should see Behringer USB listed when you click on the audio out tab. Also go to the Audio Settings panel and configure your Audio Ins / Outs, make sure they are selected and 'enabled'.

You then have to go to whatever audio software app you are using, and 'set up' the ASIO drivers within your audio software itself (read the manual or look at some of the headings under Preferences or Settings in the software window itself). You want to download the ASIO driver(s) and install those again. The UCA222 is a USB AUDIO Interface, not MIDI.