Welcome to the forums!
What are your setting in the MIDI Devices? (Options->Preferences->Audio->Midi Devices)
And is the track record armed, the record monitoring on and is the input select (on the TCP - ie. the Track Control Panel) set to your midi instrument?
It will also help you in the long run to check out the Reaper User Guide :
https://www.reaper.fm/userguide.php