This Ableton tutorial covers how Live handles MIDI controllers that come with built-in control surface templates, a feature called instant mapping. When a supported device is connected, Live recognizes it automatically and it appears in the Control Surfaces section of preferences with no manual setup required.
For devices that have a control surface template but aren't auto-detected, you can assign them manually by selecting the control surface name and specifying its MIDI input and output via the chooser. Live supports up to six control surfaces running simultaneously.